Duong, Truong X.Huszár, Zsuzsa R.Yamada, Takeshi2015-05-262015-05-260378-4266http://hdl.handle.net/1885/13594In 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, prices became less informative, and short-term price volatility increased. Overall, the pricing efficiency benefits of short selling declined after the mandatory disclosure policy.The authors thank NUS for generous financial support from academic research grant WPS: R-315-000-085-112. Huszár acknowledges the generous financial support from the NUS start-up grant for this research project (R-315-000-087-133) and Data Explorer for providing the data and relevant information.© 2014 Elsevier.http://creativecommons.org/licenses/by-nc-nd/4.0/2015-01-1310.1016/j.jbankfin.2014.12.0142016-02-24Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International