Publicizing Arbitrage
研究了美国证券市场提高卖空头寸公开披露频率对价格效率的影响，发现更频繁的披露能加速信息融入价格、降低卖空者的期限风险并增加卖空交易。
Abstract How does greater public disclosure of arbitrage activity and informed trading affect price efficiency? To answer this, we exploit rule amendments in U.S. securities markets, which impose a higher frequency of public disclosure of short positions. Higher public disclosure can hurt the production of information and deteriorate efficiency, or it can be beneficial by mitigating the limits to arbitrage and diffusing arbitrageurs’ information faster. With more frequent disclosure, information encapsulated within short interest is incorporated into prices faster, improving price efficiency. We find important reductions in short sellers’ horizon risk and increases in short sales with the rule amendments.