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The costs and benefits of short sale disclosure

Duong, Truong X.; Huszár, Zsuzsa R.; Yamada, Takeshi


In this study, we examine the impact of a market-wide mandatory disclosure policy on short selling on the Tokyo Stock Exchange. We find that average short selling slightly declined while investors’ shorting strategies changed significantly in response to the disclosure. Previously highly shorted stocks were shorted less and shorting activity shifted toward smaller and riskier stocks, suggesting that retail investors became the more likely short sellers. Short sales became more trend-chasing,...[Show more]

CollectionsANU Research Publications
Date published: 2015-01-13
Type: Journal article
Source: Journal of Banking & Finance
DOI: 10.1016/j.jbankfin.2014.12.014


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