Short Arbitrage, Return Asymmetry, and the Accrual Anomaly

• 成果类型: Article
• 署名作者: Hirshleifer, David; Teoh, Siew Hong; Yu, Jeff Jiewei
• 署名单位: University of California System; University of California Irvine; Southern Methodist University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr012
• 发表日期: 2011
• 页码: 2429
• 关键词: Short sales; cross-section; SHORT-SELLERS; STOCK; MARKET; earnings; FIRMS; restrictions; performance; constraints

摘要

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. (JEL G14, G11)