| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12658 |
| DP12658 Show us your shorts! | |
| Bige Kahraman | |
| 发表日期 | 2018-01-27 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics |
| 关键词 | Shortinterest Publicdisclosure Informationalefficiency |
| URL | https://cepr.org/publications/dp12658 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541470 |
| 推荐引用方式 GB/T 7714 | Bige Kahraman. DP12658 Show us your shorts!. 2018. |
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