Davey, 26, starred in Essendon's 39-point win over Melbourne in the NAB Cup qualifying final on Thursday night, but the club confirmed on Saturday that the livewire forward had suffered a hairline fracture.
General manager of football operations Paul Hamilton said Davey remained in the mix for round one after scans revealed no displacement to the bone.
"Alwyn suffered a knock very, very late in the game against Melbourne last week which caused him a little bit of soreness post-match before scans later revealed a small fracture," he said.
"It is disappointing for Alwyn and the club because he has had a very good pre-season so far.
"The positive is that he will still be able to keep running and maintain his fitness levels so he won’t be set back too much."
It is the third time in Davey's short career he has broken his arm, having had his 2007 and 2010 seasons ended prematurely.
He also missed the majority of 2008 after rupturing his anterior cruciate ligament.
