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http://ssrn.com/abstract=1026044
 
 

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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


Southern Methodist University - Cox School of Business

October 7, 2010


Abstract:     
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

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Date posted: June 20, 2007 ; Last revised: October 15, 2010

Suggested Citation

Hirshleifer, David A. and Teoh, Siew Hong and Yu, Jeff Jiewei, Short Arbitrage, Return Asymmetry and the Accrual Anomaly (October 7, 2010). Available at SSRN: http://ssrn.com/abstract=1026044 or http://dx.doi.org/10.2139/ssrn.1026044

Contact Information

David A. Hirshleifer (Contact Author)
University of California, Irvine - Paul Merage School of Business ( email )
Irvine, CA California 92697-3125
United States
Siew Hong Teoh
University of California - Paul Merage School of Business ( email )
Irvine, CA California 92697-3125
United States
Jeff Jiewei Yu
Southern Methodist University - Cox School of Business ( email )
3000 Fondren DR
Dallas, TX 75205
United States
214-768-8321 (Phone)
214-768-4099 (Fax)
HOME PAGE: http://www.cox.smu.edu/web/jeff-yu
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