Kahraman, Bige and Pachare, Salil (2016) Show Us Your Shorts! Said Business School Working Paper 2016-25.
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What is the impact of greater publicity in the shorting market on informational efficiency? To answer this, we exploit rule amendments in U.S. securities markets which increased the frequency of public disclosure of short interest. Theoretically, greater public disclosure can improve or deteriorate informational efficiency. We find that with more frequent disclosure, short-sellers’ private information is incorporated into prices faster, improving informational efficiency. We also document significant market reactions to short interest announcements, suggesting investor learning, and furthermore, reductions in short-sellers’ horizon risk and holding periods.
|Item Type:||Oxford Saïd Research Paper|
|Keywords:||Shorting Market; Public Disclosure; Informational Efficiency|
|Date Deposited:||01 Jul 2015 09:48|
|Last Modified:||11 Nov 2016 09:49|
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