Short Arbitrage, Return Asymmetry and the Accrual Anomaly

Hirshleifer, David; Teoh, Siew Hong; Yu, Jeff Jiewei

doi:10.2139/ssrn.1026044

Cited by 58 publications

(30 citation statements)

References 38 publications

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“…19. For example, Hirshleifer, Teoh, and Yu (2011) found that the accrual anomaly is stronger on the short side; Hong, Lim, and Stein (2000) found the same for momentum. Chordia, Subrahmanyam, and Tong (2010) found that the value anomaly has been stronger on the short side in recent years.…”

Section: Active Management In Mostly Efficient Marketsmentioning

confidence: 93%

Active Management in Mostly Efficient Markets

Jones¹,

Wermers

2011

Financial Analysts Journal

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Section: Active Management In Mostly Efficient Marketsmentioning

confidence: 93%

Active Management in Mostly Efficient Markets

Jones¹,

Wermers

2011

Financial Analysts Journal

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“…Prior work has documented that short-sellers appear to exploit prominent anomaly strategies, including book-to-market and other value signals (Dechow et al 2001), accruals (Hirshleifer, Teoh, and Yu 2011), and post-earnings-announcement drift (Cao et al 2007). …”

mentioning

confidence: 99%

The Growth and Limits of Arbitrage: Evidence from Short Interest

Hanson¹,

Sunderam²

2013

Rev. Financ. Stud.

126

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We develop a novel methodology to infer the amount of capital allocated to quantitative equity arbitrage strategies. Using this methodology, which exploits time-variation in the cross-section of short interest, we document that the amount of capital devoted to value and momentum strategies has grown significantly since the late 1980s. We provide evidence that this increase in capital has resulted in lower strategy returns. However, consistent with theories of limited arbitrage, we show that strategy-level capital flows are influenced by past strategy returns and strategy return volatility and that arbitrage capital is most limited during times when strategies perform best. This suggests that the growth of arbitrage capital may not completely eliminate returns to these strategies. (JEL G02, G12, G14, G23) AcknowledgmentsWe are grateful to

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“…The process of mining negative information by short sellers increases the risk that managers fail to disclose the positive information in time, so it will motivate managers to disclose information timely and accurately. Karpoff et al (2010) [4], Hirshleifer et al (2011) [5] found that short selling can restrain the financial fraud. Chen et al (2015) [12], Fang et al (2016) [13] found that short selling can restrain earnings management and improve the reliability of financial information.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Karpoff, Lou (2010) [4], Hirshleifer et al (2011) [5], investigated the effect of short selling mechanism on the quality of financial information; Grullon et al (2015) [6] and Jin et al (2015) [7] examined the impact of short selling mechanism on corporate investment behavior. There is little literature on the impact of short-selling on executive pay contracts.…”

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confidence: 99%

Short Selling and Executive Pay-for-Performance Sensitivity

Chen¹

2018

AJIBM

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Based on the launch of short selling in our country as the background, using the data of the a-share listed company from 2007 to 2016 in China, we built the model and empirically proved the impact of short selling on the target company executive compensation contracts. And then we discussed how the different supervision mechanism and the management rights affected their relationship. This paper finds out that the implementation of short selling improved Executive Pay-for-performance Sensitivity of the target company. In the weak supervision mechanism of listed companies, short selling can significantly improve the Executive Pay-for-performance Sensitivity, while in strong supervision mechanism of listed companies, short selling can't play a role; further from management right consideration, we found that in the higher management rights of listed companies, short selling can significantly improve its Executive Pay-for-performance Sensitivity, and in lower management rights of the listed company, short selling has no significant influence on management compensation contracts.

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Short Arbitrage, Return Asymmetry and the Accrual Anomaly

Cited by 58 publications

References 38 publications

Active Management in Mostly Efficient Markets

Active Management in Mostly Efficient Markets

The Growth and Limits of Arbitrage: Evidence from Short Interest

Short Selling and Executive Pay-for-Performance Sensitivity

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