Bears and numbers : investigating whether short-sellers exploit accounting-based pricing anomalies

This paper examines whether short-sellers (bears) exploit post-earnings-announcement-drift (PEAD) and the accruals anomaly. I first find that short interest is higher during the period that follows a negative earnings surprise and, to a lesser extent, the announcement of earnings that contains an abnormal income-increasing accrual component. Second, holding both anomalies constant, I find that prices decline more quickly in the presence of higher short interest. However, I do not find that higher short interest improves the pricing of information about future earnings contained in current earnings.

Department dc:contributor.department

Sloan School of Management.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2005

Author dc:creator

• Cao, Bing, S.M. Sloan School of Management

Advisor dc:contributor.advisor

• S.P. Kothari and Joseph Weber.

• Sloan School of Management.

Statement dc:rights

• M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/33662

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/33662