Short Arbitrage, Return Asymmetry, and the Accrual Anomaly
Siew Hong Teoh and
Review of Financial Studies, 2011, vol. 24, issue 7, pages 2429-2461
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. The Author 2011. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: firstname.lastname@example.org., Oxford University Press.
References: Add references at CitEc
Citations View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: SHORT ARBITRAGE, RETURN ASYMMETRY AND THE ACCRUAL ANOMALY (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:oup:rfinst:v:24:y:2011:i:7:p:2429-2461
Ordering information: This journal article can be ordered from
Access Statistics for this article
Review of Financial Studies is currently edited by Maureen O'Hara
More articles in Review of Financial Studies from Society for Financial Studies Oxford University Press, Journals Department, 2001 Evans Road, Cary, NC 27513 USA.. Contact information at EDIRC.
Series data maintained by Oxford University Press ().