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Hedge fund stock trading in the financial crisis of 2007 - 2009

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011

Hedge funds significantly reduced their equity holdings during the recent financial crisis. In 2008Q3-Q4, hedge funds sold about 29% of their aggregate portfolio. Redemptions and margin calls were the primary drivers of selloffs. Consistent with forced deleveraging, the selloffs took place in...

Persistent link: https://www.econbiz.de/10009009543

Do hedge funds manipulate stock prices?

Ben-David, Itzhak; Franzoni, Francesco; Landier, Augustin; … - 2012 - March 2012

We find evidence that hedge funds significantly manipulate stock prices on critical reporting dates. We document that stocks held by hedge funds experience higher returns on the last day of the quarter, followed by a reversal the next day. For example, the stocks in the top quartile of hedge...

Persistent link: https://www.econbiz.de/10009554212

ETFs, arbitrage, and contagion

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2012 - March 2012

Recent literature suggests that trading by institutional investors may affect the first and second moments of returns. Elaborating on this intuition, we conjecture that arbitrageurs can propagate liquidity shocks between related markets. The paper provides evidence in this direction by studying...

Persistent link: https://www.econbiz.de/10009554748

Competition for attention in the ETF space

Ben-David, Itzhak; Franzoni, Francesco; Kim, Byungwook; … - 2021

The interplay between investors' demand and providers' incentives has shaped the evolution of exchange-traded funds (ETFs). While early ETFs offered diversification at low cost, later ETFs track niche portfolios and charge high fees. Strikingly, over their first five years, specialized ETFs lose...

Persistent link: https://www.econbiz.de/10012421474

Strategic trading as a response to short sellers

Di Maggio, Marco; Franzoni, Francesco; Massa, Massimo; … - 2019 - This version: April, 2019

We study empirically whether short selling deters the incorporation of positive information. We find a sizeable … reduction of positive information impounding before earnings announcements for stocks more exposed to short selling. The price … multiple brokers, suggesting they wish to prevent their information from leaking. The findings suggest that short selling can …

Persistent link: https://www.econbiz.de/10012003269

An improved method to predict assignment of stocks into Russell indexes

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2019

A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We...

Persistent link: https://www.econbiz.de/10012134428

Exchange traded funds (ETFs)

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2017

Over two decades, ETFs have become one of the most popular investment vehicle among retail and professional investors due to their low transaction costs and high liquidity, taking market share from traditional investment vehicles such as mutual funds and index futures. Research has shown that in...

Persistent link: https://www.econbiz.de/10011620013

Private equity performance and liquidity risk

Franzoni, Francesco; Nowak, Eric; Phalippou, Ludovic - 2010

Private equity has traditionally been thought to provide diversi cation bene ts. However, these benefi ts may be lower than anticipated. We find that private equity suffers from signifi cant exposure to the same liquidity risk factor as public equity and other alternative asset classes. The...

Persistent link: https://www.econbiz.de/10003971284

Underinvestment vs. overinvestment : evidence from price reactions to pension contributions

Franzoni, Francesco - 2008

Mandatory contributions to defined benefit pension plans provide a unique identification strategy to estimate the market's assessment of the value of internal resources controlling for investment opportunities. The drop in prices following these cash outflows is magnified for firms that appear a...

Persistent link: https://www.econbiz.de/10003962040

The changing nature of market risk

Franzoni, Francesco - 2008

In the first three decades of CRSP data, value stocks have higher betas than growth stocks. Later on, the ranking is reversed and the gap in beta widens. What makes growth strategies nowadays bear more market risk than value strategies? What are the causes of the reversal in the ranking of...

Persistent link: https://www.econbiz.de/10003966097