63 Pages Posted: 16 Aug 2011 Last revised: 4 Mar 2015
Date Written: March 2, 2015
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.
Keywords: short sales, short interest, securities lending, secondary equity offering
JEL Classification: G14
Suggested Citation: 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: https://ssrn.com/abstract=1910372 or http://dx.doi.org/10.2139/ssrn.1910372
By Eli Ofek