The DOI matches its Crossref record; 38 of the 38 references it cites were found in a registry or an index.
Short Arbitrage, Return Asymmetry, and the Accrual Anomaly
Open accessAbstract
We find a positive association between short-selling and accruals during 1988-2009, and that asymmetry between the long and short sides 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 only present on NASDAQ. Thus, there is short arbitrage of the accrual anomaly, but short sale constraints limit its effectiveness. Presentation slides available at http://ssrn.com/abstract=3228837
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
Petersen, M. A. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn053 · Cited by 10,746
Illiquidity and stock returns: cross-section and time-series effects
Amihud, Y. (2002) · Journal of Financial Markets · doi:10.1016/s1386-4181(01)00024-6 · Cited by 9,963
Earnings Management and the Long‐Run Market Performance of Initial Public Offerings
Teoh, S. H., Welch, I., & Wong, T. J. (1998) · The Journal of Finance · doi:10.1111/0022-1082.00079 · Cited by 2,296
Self-citationErrors in Estimating Accruals: Implications for Empirical Research
Hribar, P., & Collins, D. W. (2002) · Journal of Accounting Research · doi:10.1111/1475-679x.00041 · Cited by 1,681
Simple formulas for standard errors that cluster by both firm and time
Thompson, S. B. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2010.08.016 · Cited by 1,512
Accrual reliability, earnings persistence and stock prices
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Short sales, institutional investors and the cross-section of stock returns
Nagel, S. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.08.008 · Cited by 1,184
The market for borrowing stock
D’Avolio, G. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(02)00206-4 · Cited by 1,159
Short interest, institutional ownership, and stock returns
Asquith, P., Pathak, P. A., & Ritter, J. R. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2005.01.001 · Cited by 1,011
Cited by
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
STAMBAUGH, R. F., YU, J., & YUAN, Y. (2015) · The Journal of Finance · doi:10.1111/jofi.12286 · Cited by 940
Self-citationStambaugh, R. F., & Yuan, Y. (2017) · The Review of Financial Studies · doi:10.1093/rfs/hhw107 · Cited by 894
Hirshleifer, D. (2015) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-092214-043752 · Cited by 497
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Metadata
- Authors
- Hirshleifer, D., Teoh, S. H., & Yu, J. J.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2011-04-11
- Volume
- 24
- Issue
- 7
- Pages
- 2429-2461
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W1496887914
- Cited by
- 279
- References
- 38
- FWCI
- 27.29
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
