2026-09-19T01:48:36Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/336622022-01-13T07:54:52Zcom_1721.1_7582com_1721.1_7581col_1721.1_131023
S.P. Kothari and Joseph Weber.
Cao, Bing, S.M. Sloan School of Management
Sloan School of Management.
Sloan School of Management
2006-07-31T15:21:20Z
2006-07-31T15:21:20Z
2005
2005
http://hdl.handle.net/1721.1/33662
64560571
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2005.
Includes bibliographical references (leaves 30-31).
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.
y Bing Cao.
S.M.
31, [9] leaves
1981027 bytes
1982591 bytes
application/pdf
application/pdf
eng
Massachusetts Institute of Technology
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http://dspace.mit.edu/handle/1721.1/7582
Sloan School of Management.
Bears and numbers : investigating whether short-sellers exploit accounting-based pricing anomalies
Investigating whether short-sellers exploit accounting-based pricing anomalies
Thesis
application/pdf
Publication
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<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.</Abstract>
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