The SEC will likely look into Ryan Cohen's exit from Bed Bath & Beyond stock, says former chair Jay Clayton

Ryan Cohen's exit from Bed Bath & Beyond is likely to be looked into by the SEC.

Cohen sold his stake in Bed Bath & Beyond this week for $68 million, after his firm took a stake in the retailer.

According to CNBC, the regulatory agency was likely to look into Cohen's exit of Bed Bath & Beyond, given the extreme stock volatility surrounding his exit, as well as the fact that he was an activist investor.

"I'm confident they'll look into it," he said. It will be up to them to look into it. I'm sure that they will look at both the trading and the activity with non-public information.

Activist investors are aware of the rules, according to him.

Whitney Tillson, a former hedge fund manager, called Cohen's exit a "total disgrace" and said he asked the SEC to look into a potential investigation for manipulation of a security.

Bed Bath & Beyond reported a $224 million loss in the second quarter and said it would work with a debt restructuring company.