for my $elem ( @a ){
    push @z, $_ = ( first { $elem eq $_ } @b ) ? '+' : '-';
}
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One problem with this code is that  first returns the first element from  @a that is also present in  @b. If there is a 0 in both  @a and  @b a 0 will be returned. Numeric 0 is false, which will cause the ternary to select the '-' character representing element not present.

In addition, the code needlessly assigns to the  $_ scalar. In the example below, comment out the  local $_; statement and see what happens to the  $_ scalar.

IMHO, using  any (as in the OPed code) is far better. The job can also be done with the  map built-in rather than a  for loop.

>perl -wMstrict -MData::Dump -le
"use List::Util      qw(first);
 use List::MoreUtils qw(any);
 ;;
 my @a = (1, 2, 3, 4, 5);
 my @b = (9, 8, 2, 1, 5);
 my @z;
 ;;
 $_ = 'foo';
 { local $_;
   for my $elem ( @a ){
     push @z, $_ = ( first { $elem eq $_ } @b ) ? '+' : '-';
     }
   }
 print @z;
 print qq{\$_ == '$_'};
 ;;;;
 @z = ();
 for my $elem (@a) {
   push @z, (any { $_ == $elem } @b) ? '+' : '-';
   }
 print @z;
 ;;;;
 @z = map { my $ae = $_;  (any { $ae == $_ } @b) ? '+' : '-' } @a;
 print @z;
"
++--+
$_ == 'foo'
++--+
++--+
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Update: Another oops. In the first for-loop example above, the statement
    push @z,  ( first { $elem eq $_ } @b ) ? '+' : '-';
was intended to exactly duplicate the corresponding statement in the post to which I was responding. I took out the  $_ = assignment to test something, then forgot to put it back. I have now put the assignment back; the output is the same, and removing the  local $_; statement now will really change the output.