Posted: 22 Mar 2005
Date Written: September 2005
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
Suggested Citation: 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: https://ssrn.com/abstract=687254 or http://dx.doi.org/10.2139/ssrn.687254