Publicizing Private Information

Kahraman, Bige and Pachare, Salil (2018) Publicizing Private Information. Saïd Business School Working Paper.

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How does greater public disclosure of arbitrage activity and informed trading affect price 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 hurt the production of information and deteriorate efficiency, or it can be beneficial by helping short-sellers diffuse their information faster. With more frequent disclosure, information encapsulated within short interest is incorporated into prices faster, improving price efficiency. Furthermore, we find important reductions in short-sellers’ horizon risk, and increases in short-sales with the rule amendments.

Item Type: Oxford Saïd Research Paper
Keywords: Shorting Market; Public Disclosure; Informational Efficiency; finance
Subject(s): Finance
Date Deposited: 01 Jul 2015 09:48
Last Modified: 26 Oct 2018 15:50
Funders: not applicable

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