Interest in the short interest: The rise of private‐sector data
研究发现，私营部门每日提供的卖空数据能有效预测监管机构每半月一次的披露，并有助于价格发现，但经济影响有限；投资者对数据反应不足主要源于套利限制，而非市场忽视。
Abstract Short interest is currently required to be disclosed twice per month, but regulators have sought to increase this frequency. Meanwhile, short interest information from private third‐party vendors has emerged to meet investor demand on a daily basis. We find that daily private‐sector data strongly predict bimonthly regulatory disclosure. Furthermore, private‐sector data help price discovery, albeit with modest economic magnitude. Investors tend to underreact to the information content of private‐sector data mainly due to limits to arbitrage rather than market inattention. Despite the costly access to private‐sector data, we find no evidence that retail investors are harmed in their trades. Overall, our findings highlight the interplay between private‐sector and regulatory solutions in enhancing financial market transparency.