We study the effect of a mandatory improvement in public disclosure due to the adoption of International Financial Reporting Standards (IFRS) on the stock return predictability of shorting activity. To assess the impact of the disclosure shock, we measure monthly changes in the demand for and supply of stocks for shorting and whether those changes predict negative returns in the following month. We provide international evidence that the ability of increases in shorting demand and supply to predict negative returns declines after the shock. The predictive ability of shorting in the month before a negative earnings surprise and news of a firm's questionable merger and acquisitions transaction also declines after the shock. These findings imply that the shock of the mandatory accounting change crowds out some of short-sellers’ value-relevant information in the equity lending market. Thus, although the democratization of information from a structured accounting change may make sophisticated investors worse off by reducing their ability to predict future returns, this change may also benefit all investors through timely stock price discovery.

中文翻译：

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卖空活动和股票收益可预测性：来自强制披露冲击的证据

我们研究了由于采用国际财务报告准则（IFRS）而强制改进公开披露对卖空活动的股票收益可预测性的影响。为了评估披露冲击的影响，我们测量了用于做空的股票供需的每月变化，以及这些变化是否预示着下个月的负回报。我们提供的国际证据表明，在冲击后，做空需求和供应增加预测负回报的能力下降。在负面收益意外和公司可疑并购交易的消息之前的一个月内做空的预测能力也在冲击之后下降。这些发现表明，强制性会计变更的冲击挤出了股票借贷市场中一些卖空者的价值相关信息。因此，尽管结构性会计变更带来的信息民主化可能会降低成熟的投资者预测未来回报的能力，从而使他们的境况变得更糟，但这种变化也可能通过及时的股票价格发现使所有投资者受益。