[in Journal: The Quarterly Journal of Finance] AND [Keyword: Mispricing] : Search

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[in Journal: Journal of Derivatives Accounting] AND [Keyword: Fair Value] (1)	27 Mar 2025	Run
[in Journal: The Quarterly Journal of Finance] AND [Keyword: Mispricing] (1)	27 Mar 2025	Run
[Keyword: Fast Search] AND [All Books] (1)	27 Mar 2025	Run
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[Author: Khan, B] AND [Keyword: NVM] (2)	27 Mar 2025	Run

articleFree Access
The Accrual Anomaly and the Announcement Effect of Short Arbitrage
- Michael Sullivan and
- Andrew Jianzhong Zhang
The Quarterly Journal of Finance21 Feb 2017
Preview 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.

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