Show Us Your Shorts!

63 Pages Posted: 7 May 2012 Last revised: 17 Jan 2018

Bige Kahraman

University of Oxford - Said Business School; Centre for Economic Policy Research (CEPR)

Salil Pachare

U.S. Securities and Exchange Commission

Multiple version iconThere are 2 versions of this paper

Date Written: January 1, 2018


How does greater public disclosure of arbitrage activity and informed trading affect informational efficiency? To answer this, we exploit rule amendments in U.S. securities markets, which increased the frequency of public disclosure of short positions. Higher public disclosure can potentially improve or deteriorate informational efficiency. We find that with more frequent disclosure, short-sellers’ information is incorporated into prices faster, improving informational efficiency. In support of the mechanism driving this result, we document significant market reactions to short interest announcements, suggesting investor learning, and furthermore, we find increases in short-selling activity and reductions in short-sellers’ holding periods with the rule amendments.

Keywords: shorting market, public disclosure, informational efficiency

JEL Classification: G12, G14

Suggested Citation

Kahraman, Bige and Pachare, Salil, Show Us Your Shorts! (January 1, 2018). Saïd Business School WP 2016-25. Available at SSRN: or

Bige Kahraman (Contact Author)

University of Oxford - Said Business School ( email )

Park End Street
Oxford, OX1 1HP
Great Britain

Centre for Economic Policy Research (CEPR) ( email )

77 Bastwick Street
London, EC1V 3PZ
United Kingdom

Salil Pachare

U.S. Securities and Exchange Commission ( email )

Division of Economic and Risk Analysis
100 F Street, N.E.
Washington, DC DC 20549
United States

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