Bears and numbers : investigating whether short-sellers exploit accounting-based pricing anomalies
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2005.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2006
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| Online Access: | http://hdl.handle.net/1721.1/33662 |
| _version_ | 1826211463045316608 |
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| author | Cao, Bing, S.M. Sloan School of Management |
| author2 | S.P. Kothari and Joseph Weber. |
| author_facet | S.P. Kothari and Joseph Weber. Cao, Bing, S.M. Sloan School of Management |
| author_sort | Cao, Bing, S.M. Sloan School of Management |
| collection | MIT |
| description | Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2005. |
| first_indexed | 2024-09-23T15:06:16Z |
| format | Thesis |
| id | mit-1721.1/33662 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T15:06:16Z |
| publishDate | 2006 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/336622019-04-10T12:39:39Z Bears and numbers : investigating whether short-sellers exploit accounting-based pricing anomalies Investigating whether short-sellers exploit accounting-based pricing anomalies Cao, Bing, S.M. Sloan School of Management S.P. Kothari and Joseph Weber. Sloan School of Management. Sloan School of Management. Sloan School of Management. 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. 2006-07-31T15:21:20Z 2006-07-31T15:21:20Z 2005 2005 Thesis http://hdl.handle.net/1721.1/33662 64560571 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 31, [9] leaves 1981027 bytes 1982591 bytes application/pdf application/pdf application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management. Cao, Bing, S.M. Sloan School of Management Bears and numbers : investigating whether short-sellers exploit accounting-based pricing anomalies |
| title | Bears and numbers : investigating whether short-sellers exploit accounting-based pricing anomalies |
| title_full | Bears and numbers : investigating whether short-sellers exploit accounting-based pricing anomalies |
| title_fullStr | Bears and numbers : investigating whether short-sellers exploit accounting-based pricing anomalies |
| title_full_unstemmed | Bears and numbers : investigating whether short-sellers exploit accounting-based pricing anomalies |
| title_short | Bears and numbers : investigating whether short-sellers exploit accounting-based pricing anomalies |
| title_sort | bears and numbers investigating whether short sellers exploit accounting based pricing anomalies |
| topic | Sloan School of Management. |
| url | http://hdl.handle.net/1721.1/33662 |
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