Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices

• 成果类型: Article
• 署名作者: Jank, Stephan; Roling, Christoph; Smajlbegovic, Esad
• 署名单位: Deutsche Bundesbank; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.07.010
• 发表日期: 2021
• 页码: 209-233
• 关键词: Information disclosure; Short selling; INVESTOR BEHAVIOR; Limits to arbitrage; Price discovery

摘要

We study how disclosure requirements for large short positions affect investor behavior and security prices. Short positions accumulate just below the applicable disclosure threshold as certain investors never disclose any of their positions. Further tests suggest that this secrecy is part of investors' general policy of avoiding disclosure to protect their unique, profitable investment strategies against reverse engineering by competitors. No evidence supports the notion that short sellers avoid disclosure because of potential adverse effects on securities' lending fees, risk of recall, or short squeezes. Finally, the evasive behavior by short sellers in response to transparency regulations hampers price discovery. (C) 2020 Elsevier B.V. All rights reserved.