The main purpose of this paper is to investigate if hedge funds create abnormal risk-adjusted returns, both during bull and bear markets. The model applied is an extended multi-factor model. The dataset consists of hedge fund return series with data from a fifteen-year period ranging from 1994...

Using comprehensive quarterly data on hedge fund stock holdings, we study the role of hedge funds in the process of stock price formation. We find that hedge funds tend to hold undervalued stocks, and that both hedge fund ownership and their trades are positively related to the degree of stock...

Following the literature on test-specifications, correct-modeling, and detectability of long-run stock performance in event study framework, this study tests the performance of monthly stock returns of 589 firms targeted by 112 hedge funds over the period of January 2000 to December 2013. For an...