Short Arbitrage, Return Asymmetry, and the Accrual Anomaly

By David A. Hirshleifer, Siew Hong Teoh, Jeff Yu. 2011

261 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8f1b36e2d9dbb161b1cdea94325969aab8414679

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Citations in the corpus

The Growth and Limits of Arbitrage: Evidence from Short Interest (2014, background): “Specifically, short-sellers correctly believe that the expected excess returns on stock i are * 1[ ]t itE r , whereas other investors incorrectly believe that * 1 1[ ] [ ] .t it t it itE r E r (1) Thus, represents the overpricing of stock i at time t.”
SEC Comment Letters and Insider Sales (2016, unknown): “…indicates disagreement among investors about the value of the firm and evidence from prior research suggests that short-sellers use financial reporting metrics to identify overpriced securities (e.g., Dechow et al. 2001; Karpoff and Lou 2010; Hirshleifer et al. 2011; Curtis and Fargher 2013).”
R2 and Idiosyncratic Risk are not Interchangeable (2014, background): “…as a proxy for barriers to arbitrage (e.g., Wurgler and Zhuravskaya 2002; Ali, Hwang, and Trombley 2003; Mendenhall 2004; Mashruwala et al. 2006; Pontiff 2006; Pincus, Rajgopal, and Venkatachalam 2007; Cohen, Dey, Lys, and Sunder 2007; Brav, Heaton, and Li 2010; Hirshleifer, Teoh, and Yu 2011).”
Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns (2016, background): “…that includes Fama and French (2006), Hirshleifer, Hou, and Teoh (2009), Polk and Sapienza (2009), Hirshleifer and Jiang (2010), Li and Zhang (2010), Hirshleifer, Teoh, and Yu (2011), Lewellen (2011), Stambaugh, Yu, and Yuan (2012), Avramov, Chordia, Jostova, and Philipov (2013), Novy-Marx…”
Short interest and stock price crash risk (2015, result): “The mean value and standard deviation of SIRT are 0.0371 and 0.0517, comparable to the statistics reported in prior studies (e.g., Dechow et al., 2001; Drake et al., 2011; Hirshleifer et al., 2011).”
Competition of the Informed: Does the Presence of Short Sellers Affect Insider Selling? (2015, background): “It is well-documented that short sellers are able to identify overvalued or “suspicious” stocks (e.g., Dechow et al., 2001; Christophe et al., 2004; Desai et al., 2006; Cohen et al., 2007, Christophe et al., 2010; Karpoff and Lou, 2010; Hirshleifer et al., 2011, Ljungqvist and Qian, 2014).”