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Please note that all times are shown in the time zone of the conference. The current conference time is: 7th June 2024, 10:11:47pm EDT
Track M3-3: Risk and Information in Institutional Investing
Time:
Monday, 20/May/2024:
10:30am - 11:15am
Session Chair: Christian Opp, University of Rochester Discussant: Brian J. Henderson, George Washington University
Location:Room 1216
Presentations
Information Leakage from Short Sellers
Fernando Chague1, Bruno Giovannetti1, Bernard Herskovic2
1Getulio Vargas Foundation - Sao Paulo School of Economics; 2UCLA Anderson and NBER
Using granular data on the entire Brazilian securities lending market merged with all trades in the centralized stock exchange, we identify information leakage from short sellers. Our identification strategy explores trading execution mismatches between short sellers’ selling activity in the centralized exchange and borrowing activity in the over-the-counter securities lending market. We document that brokers learn about informed directional bets by intermediating securities lending agreements and leak that information to their clients. We find evidence that the information leakage is intentional and that brokers benefit from it. We also study leakage effects on stock prices.