Hirshleifer, David and Teoh, Siew Hong and Yu, Jeff Jiewei (2010): Short Arbitrage, Return Asymmetry and the Accrual Anomaly.
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We find a positive association between short-selling and accruals during 1988-2009, and that asymmetry between the long and short sides of the accrual anomaly is stronger when constraints on short-arbitrage are more severe (low availability of loanable shares as proxied by institutional holdings). Short arbitrage occurs primarily among firms in the top accrual decile. Asymmetry is only present on NASDAQ. Thus, there is short arbitrage of the accrual anomaly, but short sale constraints limit its effectiveness.
|Item Type:||MPRA Paper|
|Original Title:||Short Arbitrage, Return Asymmetry and the Accrual Anomaly|
|Keywords:||Accruals; anomalies; arbitrage; short sales; market efficiency|
|Subjects:||G - Financial Economics > G1 - General Financial Markets
M - Business Administration and Business Economics; Marketing; Accounting > M4 - Accounting and Auditing > M41 - Accounting
|Depositing User:||Jeff Yu|
|Date Deposited:||19. Oct 2010 09:56|
|Last Modified:||14. Feb 2013 06:39|
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Available Versions of this Item
SHORT ARBITRAGE, RETURN ASYMMETRY AND THE ACCRUAL ANOMALY. (deposited 29. Jul 2009 23:45)
- Short Arbitrage, Return Asymmetry and the Accrual Anomaly. (deposited 19. Oct 2010 09:56) [Currently Displayed]