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The costs and benefits of short sale disclosure

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dc.contributor.authorDuong, Truong X.
dc.contributor.authorHuszár, Zsuzsa R.
dc.contributor.authorYamada, Takeshi
dc.date.accessioned2015-05-26T04:05:59Z
dc.date.available2015-05-26T04:05:59Z
dc.date.issued2015-01-13
dc.description.abstractIn 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.en_AU
dc.description.sponsorshipThe 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.en_AU
dc.identifier.issn0378-4266en_AU
dc.identifier.urihttp://hdl.handle.net/1885/13594
dc.publisherElsevieren_AU
dc.rightshttp://www.sherpa.ac.uk/romeo/issn/0378-4266/..."Author's post-print on open access repository after an embargo period of between 12 months and 48 months" from SHERPA/RoMEO site (as at 27/05/15)en_AU
dc.rights© 2014 Elsevier. Elsevier requires authors posting their accepted manuscript to attach a non-commercial Creative Commons user license (CC-BY-NC-ND). Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ http://www.elsevier.com/about/open-access/lightbox_attach-a-user-license
dc.sourceJournal of Banking & Financeen_AU
dc.titleThe costs and benefits of short sale disclosureen_AU
dc.typeJournal articleen_AU
dcterms.dateAccepted2014-12-19
local.bibliographicCitation.lastpage139en_AU
local.bibliographicCitation.startpage124en_AU
local.contributor.affiliationYamada, T., Research School of Finance, Actuarial Studies & Applied Statistics, The Australian National Universityen_AU
local.contributor.authoruidu5640812en_AU
local.description.embargo2018-01-13
local.identifier.citationvolume53en_AU
local.identifier.doi10.1016/j.jbankfin.2014.12.014en_AU
local.publisher.urlhttp://www.elsevier.com/en_AU
local.type.statusAccepted Versionen_AU

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