Bears and numbers : investigating whether short-sellers exploit accounting-based pricing anomalies
Author(s)
Cao, Bing, S.M. Sloan School of Management
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Alternative title
Investigating whether short-sellers exploit accounting-based pricing anomalies
Other Contributors
Sloan School of Management.
Advisor
S.P. Kothari and Joseph Weber.
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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.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2005. Includes bibliographical references (leaves 30-31).
Date issued
2005Department
Sloan School of ManagementPublisher
Massachusetts Institute of Technology
Keywords
Sloan School of Management.