Interest in the short interest: The rise of private-sector data

• 成果类型: Article; Early Access
• 署名作者: Chen, Yong; Kim, Minjae; Mcinnis, John; Zhao, Wuyang
• 署名单位: Texas A&M University System; Texas A&M University College Station; Analysis Group Inc.; University of Texas System; University of Texas Austin; McGill University
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1111/1911-3846.13073
• 发表日期: 2025
• 关键词: SHORT-SELLERS; stock returns; earnings; MARKET; EFFICIENCY; OWNERSHIP; arbitrage; environment; LIMITS; BEAR

摘要

Short interest is currently required to be disclosed twice per month, but regulators have sought to increase this frequency. Meanwhile, short interest information from private third-party vendors has emerged to meet investor demand on a daily basis. We find that daily private-sector data strongly predict bimonthly regulatory disclosure. Furthermore, private-sector data help price discovery, albeit with modest economic magnitude. Investors tend to underreact to the information content of private-sector data mainly due to limits to arbitrage rather than market inattention. Despite the costly access to private-sector data, we find no evidence that retail investors are harmed in their trades. Overall, our findings highlight the interplay between private-sector and regulatory solutions in enhancing financial market transparency.