Journal article
Publicizing arbitrage
- 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.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Access Document
- Files:
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(Preview, Accepted manuscript, pdf, 452.3KB, Terms of use)
-
- Publisher copy:
- 10.1017/S0022109020000101
Authors
- Publisher:
- Cambridge University Press
- Journal:
- Journal of Financial and Quantitative Analysis More from this journal
- Volume:
- 56
- Issue:
- 3
- Pages:
- 789-820
- Publication date:
- 2020-03-09
- Acceptance date:
- 2019-12-07
- DOI:
- EISSN:
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1756-6916
- ISSN:
-
0022-1090
- Language:
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English
- Keywords:
- Pubs id:
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pubs:1076970
- UUID:
-
uuid:0e09d4f9-2e4a-4f63-a8fb-fac4eee701ea
- Local pid:
-
pubs:1076970
- Source identifiers:
-
1076970
- Deposit date:
-
2019-12-09
- ARK identifier:
Terms of use
- Copyright holder:
- Michael G. Foster School of Business
- Copyright date:
- 2020
- Rights statement:
- © Michael G. Foster School of Business, University of Washington 2020.
- Notes:
- This is the accepted manuscript version of the article. The final version is available online from Cambridge University Press at: https://doi.org/10.1017/S0022109020000101
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