The Accrual Anomaly and the Announcement Effect of Short Arbitrage

Michael Sullivan () and Andrew Jianzhong Zhang
Additional contact information
Michael Sullivan: University of Nevada, Las Vegas, Department of Finance, Lee Business School, Las Vegas, NV 89154-6008, (702) 895-4669, USA
Andrew Jianzhong Zhang: University of Nevada, Las Vegas, Department of Finance, Lee Business School, Las Vegas, NV 89154-6008, (702)895-2527, USA

Quarterly Journal of Finance (QJF), 2017, vol. 07, issue 01, 1-26

Abstract: We investigate the accrual anomaly by examining the stock market reaction around the release of short interest information for firms with high accruals. We show that arbitrage activity, proxied by short interest, focuses on mispricing of firms with high accruals. In particular, we provide evidence that high accrual firms experience significant negative returns when high short interest levels are announced. In contrast, the announcement effect does not vary by short selling activity for low accrual firms. Our findings are consistent with the view that the accrual anomaly is due to overpricing.

Keywords: Short selling; accruals; arbitrage; mispricing (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S2010139216500178
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: https://EconPapers.repec.org/RePEc:wsi:qjfxxx:v:07:y:2017:i:01:n:s2010139216500178

Ordering information: This journal article can be ordered from

DOI: 10.1142/S2010139216500178

Access Statistics for this article

Quarterly Journal of Finance (QJF) is currently edited by Fernando Zapatero

More articles in Quarterly Journal of Finance (QJF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().