Revealing Shorts An Examination of Large Short Position Disclosures

• 成果类型: Article
• 署名作者: Jones, Charles M.; Reed, Adam V.; Waller, William
• 署名单位: Columbia University; University of North Carolina; University of North Carolina Chapel Hill; Carnegie Mellon University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw064
• 发表日期: 2016
• 页码: 3278
• 关键词: SEASONED EQUITY OFFERINGS; Short-sale constraints; stock returns; SHORT-SELLERS; adverse selection; Price efficiency; LENDING MARKET; cross-section; manipulation; news

摘要

Since 2012, all European Union countries have required disclosure of large short positions. This reduces 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 a statistically significant -5.23%. We find disclosures are likely to be followed by other disclosures, especially when the initial discloser is large or centrally located. However, 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.