Short Arbitrage, Return Asymmetry and the Accrual Anomaly

52 Pages Posted: 20 Jun 2007 Last revised: 9 Aug 2018

See all articles by David Hirshleifer

David Hirshleifer

University of Southern California - Marshall School of Business - Finance and Business Economics Department; National Bureau of Economic Research (NBER)

Siew Hong Teoh

UCLA Anderson School of Management

Jeff Jiewei Yu

University of Arizona

Date Written: 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. Presentation slides available at http://ssrn.com/abstract=3228837

Keywords: Accruals, anomalies, arbitrage, short sales, market efficiency

JEL Classification: M41, M43, G14, G10

Suggested Citation

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

David Hirshleifer (Contact Author)

University of Southern California - Marshall School of Business - Finance and Business Economics Department ( email )

Marshall School of Business
Los Angeles, CA 90089
United States

HOME PAGE: http://https://sites.uci.edu/dhirshle/

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Siew Hong Teoh

UCLA Anderson School of Management ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States

HOME PAGE: http://www.anderson.ucla.edu/faculty-and-research/accounting/faculty/teoh

Jeff Jiewei Yu

University of Arizona ( email )

School of Accountancy
Eller College of Management
Tucson, AZ 85721
United States
520-621-1273 (Phone)

HOME PAGE: http://https://accounting.eller.arizona.edu/people/jeff-jiewei-yu

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