Short arbitrage, return asymmetry, and the accrual anomaly

David Hirshleifer, Siew Hong Teoh, Jeff Jiewei Yu

Research output: Contribution to journalArticlepeer-review

111 Scopus citations

Abstract

We find a positive association between short selling and accruals during 1988-2009, and that asymmetry between the up- and downsides 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 present only on NASDAQ. Thus, there is short arbitrage of the accrual anomaly, but short-sale constraints limit its effectiveness.

Original languageEnglish (US)
Pages (from-to)2429-2461
Number of pages33
JournalReview of Financial Studies
Volume24
Issue number7
DOIs
StatePublished - Jul 2011
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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