Abstract

http://ssrn.com/abstract=687254
 
 

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Do Short-Sellers Arbitrage Accounting-Based Stock Market Anomalies?*


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

September 2005

AFA 2006 Boston Meetings Paper

Abstract:     
We find a positive association between short-selling and accruals, capital expenditures, and (less robustly) NOA among NASDAQ firms during 1988-2003. The associated return anomalies are asymmetric; the absolute value of mean abnormal returns is larger for high accrual or high capital expenditure firms than low accrual or low capital expenditure firms on NASDAQ, but not on NYSE. For an NOA-based strategy the return asymmetry is also larger on NASDAQ than on NYSE. These findings indicate that for some firms short arbitrage weakens these anomalies on the down side, but that among NASDAQ firms short sales constraints limit the effectiveness of short arbitrage.

Keywords: Arbitrage, short sales, anomalies, market efficiency

JEL Classification: G14, M41

working papers series





Not Available For Download

Date posted: March 22, 2005  

Suggested Citation

Hirshleifer, David A. and Teoh, Siew Hong and Yu, Jeff Jiewei, Do Short-Sellers Arbitrage Accounting-Based Stock Market Anomalies?* (September 2005). AFA 2006 Boston Meetings Paper. Available at SSRN: http://ssrn.com/abstract=687254 or http://dx.doi.org/10.2139/ssrn.687254

Contact Information

David A. Hirshleifer
University of California, Irvine - Paul Merage School of Business ( email )
Irvine, CA California 92697-3125
United States
Siew Hong Teoh (Contact Author)
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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