Effects of short selling disclosure regulation on the UK market: Asset pricing, informational Efficiency & Herindg
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2016-08-16
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en
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The objective of this paper is to analyse the effects of the European Short Selling Disclosure Regulation on informational efficiency, asset pricing, and herding. The analyses are based on the UK financial market during the time-frame of 2012 – 2015 and considers FTSE100 companies. The paper advances the knowledge on the effect of public short selling disclosures. Short selling is considered in the context of asset pricing theory, the Fama and French three-factor model (1993), and from a behavioural finance theory, herding. The results indicate that the public disclosure of short selling does not capture a risk factor in the asset pricing model, does have a minor effect on stock price returns, and does influence subsequent short selling trades. The conclusion is that public disclosures of short positions is informative to the market.
Keywords: Short selling, public disclosure, informational efficiency, Fama-French three-factor model, herding, market sentiment
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Faculteit der Managementwetenschappen