Bears and numbers : investigating whether short-sellers exploit accounting-based pricing anomalies
Name
64560571-MIT.pdf
Description
Full printable version
Size
1.89 MB
Format
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Checksum (MD5)
e94141f1a128a3e04d5bf8d50eb2b2fd
Author(s)
Cao, Bing, S.M. Sloan School of Management
Advisor(s)
S.P. Kothari and Joseph Weber.
Alternative Title
Investigating whether short-sellers exploit accounting-based pricing anomalies
Date Issued
2005
Publisher
Massachusetts Institute of Technology
Abstract
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).
Subjects
Sloan School of Management.
MIT Department
Sloan School of Management
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