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Hedge Fund Holdings and Stock Market Efficiency

Cao, Charles Q. - 2017

We study the relation between hedge fund equity holdings and measures of informational efficiency of stock prices derived from intraday transactions, as well as daily data. Our findings support the role of hedge funds as arbitrageurs who reduce mispricing in the market. Hedge funds invest in...

Persistent link: https://www.econbiz.de/10012969070

Hedge fund holdings and stock market efficiency

Cao, Charles Q.; Liang, Bing; Lo, Andrew W.; Petrasek, … - 2014

Persistent link: https://www.econbiz.de/10010433420

Hedge fund holdings and stock market efficiency

Cao, Charles Q.; Liang, Bing; Lo, Andrew W.; Petrasek, … - In: Review of asset pricing studies 8 (2018) 1, pp. 77-116

Persistent link: https://www.econbiz.de/10012001539

Fund-level FX hedging redux

Bräuer, Leonie; Hau, Harald - 2024

-denominated assets to more than 3.8 USD trillion, which should give raise to substantial currency hedging if US investor have reciprical … hedging. We find that hedging behavior by all fund types is often partial, unitary (i.e., with a single currency focus), and … European investment funds, even though optimal hedging strategies could without incurring substantial trading costs. …

Persistent link: https://www.econbiz.de/10015168533

Chapter 14. Investment Performance: A Review and Synthesis

Ferson, Wayne E. - 2013

This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve...

Persistent link: https://www.econbiz.de/10014025364

Informed Trading by Hedge Funds

Huang, Qiping - 2019

Using daily equity transactions, we create a hedge fund informed trading measure (ITM) that separates information related trades from liquidity driven trades. We find that stocks with higher hedge fund informed trading are associated with higher future stock performance. The long-short portfolio...

Persistent link: https://www.econbiz.de/10012901230

Hedge fund flows and performance streaks : how investors weigh information

Baquero, Guillermo; Verbeek, Marno - 2015

We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with econometric forecasting models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly sensitive to...

Persistent link: https://www.econbiz.de/10010471775

Hedge fund investment in ETFs

Cumming, Douglas J.; Monteiro, Pedro - 2023 - This Draft: January 31, 2023

This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U.S. data from 1998 to 2018. The data indicate that transient hedge funds and quasi-indexer hedge funds are substantially more likely to invest in ETFs. Unexpected hedge fund inflows...

Persistent link: https://www.econbiz.de/10013555545

The effectiveness of hedge fund investment strategies under various market conditions

Falkowski, Michał; Sierpińska-Sawicz, Agata; … - In: Contemporary economics 14 (2020) 2, pp. 127-143

The main purpose of the article was to analyze the effectiveness of the basic investment strategies used by hedge funds in the long term (years 1994-2015) and during the global financial crisis (years 2007-2009). Using information from commercial databases we attempted to verify the hypothesis...

Persistent link: https://www.econbiz.de/10012237267

Investor concentration, flows, and cash holdings : evidence from hedge funds

Kruttli, Mathias S.; Monin, Phillip J.; Watugala, Sumudu W. - 2017

We show that when only a few investors own a substantial portion of a hedge fund's net asset value, flow volatility increases because investors' exogenous, idiosyncratic liquidity shocks are not diversified away. Using confidential regulatory filings, we confirm that high investor concentration...

Persistent link: https://www.econbiz.de/10011803704