Economics at your fingertips  

Short Arbitrage, Return Asymmetry, and the Accrual Anomaly

David Hirshleifer, Siew Hong Teoh and Jeff Yu ()

Review of Financial Studies, 2011, vol. 24, issue 7, 2429-2461

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. The Author 2011. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail:, Oxford University Press.

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (67) Track citations by RSS feed

Downloads: (external link) (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Review of Financial Studies is currently edited by Itay Goldstein

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.
Bibliographic data for series maintained by Oxford University Press ().

Page updated 2023-09-08
Handle: RePEc:oup:rfinst:v:24:y:2011:i:7:p:2429-2461