Footnote:
In: Quarterly Journal of Finance, (Forthcoming)
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 9, 2015 erstellt
Description:
We investigate the stock market reaction around the release of short interest information for firms with operating accruals and uncover new evidence on the accrual anomaly. Our evidence demonstrates that high accrual firms with the largest short interest experience the greatest negative announcement effect. In contrast, the announcement effect does not vary by short selling activity for low accrual firms. Our finding confirm that the accrual anomaly is likely due to market overpricing, where the disclosure of short interest positions reveals negative information regarding the value of high accrual firms