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
University of North Carolina (UNC) at Chapel Hill - Finance Area
March 2, 2015
AFA 2013 San Diego Meetings Paper
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
Date posted: August 16, 2011 ; Last revised: March 4, 2015
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