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Revealing Shorts: An Examination of Large Short Position Disclosures

Working Paper
   with Charles M. Jones and Adam V. Reed

Awards:
- 2011 Inquire Europe Research Grant
Proceedings:
- 2013 American Finance Association Annual Meeting
- 2012 RMA/UNC Academic Forum on Securities Lending
- 2012 Tinbergen Institute–SoFiE Conference
- 2012 Arizona State University Sonoran Winter Conference

View: Abstract | SSRN Page

By 2012, all European Union countries began requiring the disclosure of large short positions. This regime change reduced short interest, bid-ask spreads, and the informativeness of prices. After specific disclosures, short-run abnormal returns are insignificantly negative, but 90-day cumulative abnormal returns are –5.23%. We find disclosures are likely to be followed by other disclosures, especially when the initial discloser is large or centrally located, but there is no subsequent increase in short interest, and prices do not subsequently reverse. These results indicate that large short sellers are well-informed, and that disclosures are not being used to coordinate manipulative attacks.

Download: Paper | BibTeX

Last Updated: 2 March 2015