Abstract

http://ssrn.com/abstract=1910372
 
 

Citations (3)



 


 



Revealing Shorts: An Examination of Large Short Position Disclosures


Charles M. Jones


Columbia Business School - Finance and Economics

Adam V. Reed


University of North Carolina Kenan-Flagler Business School

William Waller


University of North Carolina (UNC) at Chapel Hill - Finance Area

March 2, 2015

AFA 2013 San Diego Meetings Paper

Abstract:     
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.

Number of Pages in PDF File: 63

Keywords: short sales, short interest, securities lending, secondary equity offering

JEL Classification: G14


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Date posted: August 16, 2011 ; Last revised: March 4, 2015

Suggested Citation

Jones, Charles M. and Reed, Adam V. and Waller, William, Revealing Shorts: An Examination of Large Short Position Disclosures (March 2, 2015). AFA 2013 San Diego Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1910372 or http://dx.doi.org/10.2139/ssrn.1910372

Contact Information

Charles M. Jones (Contact Author)
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States
(212) 854-5553 (Phone)
HOME PAGE: http://www.columbia.edu/~cj88/

Adam V. Reed
University of North Carolina Kenan-Flagler Business School ( email )
Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

William Waller
University of North Carolina (UNC) at Chapel Hill - Finance Area ( email )
Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States
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