Jane Chen

See it, Say it, Shorted: Strategic Announcements in Short-Selling Campaigns

Conferences:  MFA 2024 (Scheduled), 15th Annual Hedge Fund Research Conference, 36th Australasian Finance and Banking Conference, EEA-ESEM 2023, The 9th Hong Kong Joint Finance Research Workshop, SFS Cavalcade NA 2023

I study how hedge funds strategically disclose their private information during short-selling campaigns. Using data on hedge funds' voluntary announcements and daily short positions in the EU market, I document the existence of two groups of funds: Announcers and Followers. Announcers, typically small and young, (1) establish short positions, (2) publish research reports about short targets, and (3) realise profits from the falling price within a short time frame. Followers, usually large, enter at the release of the report and increase their short positions even after announcers exit. To understand strategic interaction among short sellers, I provide a model to explain how size affects a short seller’s incentive and behaviour. Small funds benefit more from disclosing when facing binding leverage constraints. In contrast, large funds profit from others’ private information by offering capital to price discovery. Moreover, I characterize the effect of such short-selling campaigns on market efficiency.

The Economics of Mutual Fund Marketing, with Wenxi Jiang and Mindy Z.Xiaolan

Revise and Resubmit, Journal of Financial Economics 

Conferences: 36th Australasian Finance and Banking Conference, CFRC 2023, ABFER 10th Annual Conference, SFS Cavalcade NA 2023, AFA 2023