Short Arbitrage, Return Asymmetry and the Accrual Anomaly
David A. Hirshleifer
University of California, Irvine - Paul Merage School of Business
Siew Hong Teoh
University of California - Paul Merage School of Business
Jeff Jiewei Yu
University of Arizona
October 7, 2010
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.
Number of Pages in PDF File: 52
Keywords: Accruals, anomalies, arbitrage, short sales, market efficiency
JEL Classification: M41, M43, G14, G10
Date posted: June 20, 2007 ; Last revised: October 15, 2010
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