52 Pages Posted: 20 Jun 2007 Last revised: 15 Oct 2010
Date Written: 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.
Keywords: Accruals, anomalies, arbitrage, short sales, market efficiency
JEL Classification: M41, M43, G14, G10
Suggested Citation: 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: https://ssrn.com/abstract=1026044 or http://dx.doi.org/10.2139/ssrn.1026044