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KDI 경제정보센터

ENG
  • Economic

    Information

    and Education

    Center

최신자료
Information Leakage from Short Sellers
NBER
2023.12.12
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.