Show Us Your Shorts?

Bige Kahraman

University of Oxford - Said Business School

Salil Pachare

U.S. Securities and Exchange Commission

September 30, 2016

What is the impact of higher publicity in the shorting market on informational efficiency? To answer this, we exploit amendments to rules in the U.S. markets which increased the frequency of public dissemination of short-sales from once-a-month to twice-a-month. Theoretically, higher publicity can improve or deteriorate informational efficiency. We find that, with more frequent disclosure, short-sellers’ information is incorporated into prices faster, improving informational efficiency. Efficiency gains are pronounced for stocks with negative information and poor informational environments. Consistent with our main findings, we document important market reactions to short-sales announcements, and reductions in short-sellers’ horizon risk and holding periods.

Number of Pages in PDF File: 56

Keywords: Shorting Market; Disclosure; Informational Efficiency

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Date posted: October 1, 2016  

Suggested Citation

Kahraman, Bige and Pachare, Salil, Show Us Your Shorts? (September 30, 2016). Available at SSRN: https://ssrn.com/abstract=2846075 or http://dx.doi.org/10.2139/ssrn.2846075

Contact Information

Bige Kahraman (Contact Author)
University of Oxford - Said Business School ( email )
Park End Street
Oxford, OX1 1HP
Great Britain

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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