Revealing Shorts An Examination of Large Short Position Disclosures

Charles Jones, Adam V. Reed and William Waller

The Review of Financial Studies, 2016, vol. 29, issue 12, 3278-3320

Abstract: Since 2012, all European Union countries have required disclosure of large short positions. This reduces 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 a statistically significant 5.23%. We find disclosures are likely to be followed by other disclosures, especially when the initial discloser is large or centrally located. However, 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.Received June 30, 2014; accepted June 24, 2016 by Editor Itay Goldstein.

JEL-codes: G14 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (23)

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The Review of Financial Studies is currently edited by Itay Goldstein

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