Revealing Shorts An Examination of Large Short Position Disclosures
研究欧盟强制披露大额头寸的影响，发现披露降低了空头持仓、买卖价差和价格信息含量，披露后90天累计异常收益为-5.23%，表明大空头信息灵通且披露未被用于操纵。
Since 2012, all European Union countries have required disclosure of large short positions. This reduces short interest, bid-ask spreads, and the informativeness of prices. After specific disclosures, short-run abnormal returns are insignificantly negative, but 90-day cumulative abnormal returns are a statistically significant <f>$-$</f>5.23%. We find disclosures are likely to be followed by other disclosures, especially when the initial discloser is large or centrally located. However, there is no subsequent increase in short interest, and prices do not subsequently reverse. These results indicate that large short sellers are well informed, and that disclosures are not being used to coordinate manipulative attacks. Received June 30, 2014; accepted June 24, 2016 by Editor Itay Goldstein.