“Show Us Your Shorts!”
by Bige Kahraman Alper
Oxford Said Business School
Abstract:
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. Greater publicity can potentially 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, increases in short-sellers’ returns and reductions in their holding periods.
