Paper by Esad Smajlbegovic published in the Journal of Financial Economics
The paper ‘Flying Under the Radar: The Effects of Short-Sale Disclosure Rules on Investor Behavior and Stock Prices' by candidate fellow Esad Smajlbegovic (Erasmus University Rotterdam), Stephan Jank (Deutsche Bundesbank) and Christoph Roling (Deutsche Bundesbank) has been published in the Journal of Financial Economics.
We study how disclosure requirements for large short positions affect investor behavior and security prices. Short positions accumulate just below the applicable disclosure threshold as certain investors never disclose any of their positions. Further tests suggest that this secrecy is part of investors’ general policy of avoiding disclosure to protect their unique, profitable investment strategies against reverse engineering by competitors. No evidence supports the notion that short sellers avoid disclosure because of potential adverse effects on securities' lending fees, risk of recall, or short squeezes. Finally, the evasive behavior by short sellers in response to transparency regulations hampers price discovery.
Stephan Janka, Christoph Roling, Esad Smajlbegovic, “Flying Under the Radar: The Effects of Short-Sale Disclosure Rules on Investor Behavior and Stock Prices”, Journal of Financial Economics, Volume 139, Issue 1, January 2021, Pages 209-233, doi.org/10.1016/j.jfineco.2020.07.010.