{"title":"对冲基金的知情交易","authors":"Qiping Huang, Pankaj K. Jain","doi":"10.1111/jfir.12386","DOIUrl":null,"url":null,"abstract":"<p>Using daily equity transactions, we create a hedge fund informed trading measure (ITM) that separates concentrated information-related trades from liquidity-driven basket trades. We find that stocks with higher ITM are associated with higher future stock performance. The long–short portfolio delivers 4% annual alpha after controlling for size, value, momentum, and illiquidity factors. We attribute informed trading to hedge funds' ability to identify and correct stock underpricing. The results are robust to several ways of constructing and sorting the measure, and we do not find a return reversal in four quarters, indicating that the measure is information related.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 3","pages":"541-568"},"PeriodicalIF":1.5000,"publicationDate":"2024-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Informed trading by hedge funds\",\"authors\":\"Qiping Huang, Pankaj K. Jain\",\"doi\":\"10.1111/jfir.12386\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>Using daily equity transactions, we create a hedge fund informed trading measure (ITM) that separates concentrated information-related trades from liquidity-driven basket trades. We find that stocks with higher ITM are associated with higher future stock performance. The long–short portfolio delivers 4% annual alpha after controlling for size, value, momentum, and illiquidity factors. We attribute informed trading to hedge funds' ability to identify and correct stock underpricing. The results are robust to several ways of constructing and sorting the measure, and we do not find a return reversal in four quarters, indicating that the measure is information related.</p>\",\"PeriodicalId\":47584,\"journal\":{\"name\":\"Journal of Financial Research\",\"volume\":\"47 3\",\"pages\":\"541-568\"},\"PeriodicalIF\":1.5000,\"publicationDate\":\"2024-01-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Research\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/jfir.12386\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Research","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jfir.12386","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Using daily equity transactions, we create a hedge fund informed trading measure (ITM) that separates concentrated information-related trades from liquidity-driven basket trades. We find that stocks with higher ITM are associated with higher future stock performance. The long–short portfolio delivers 4% annual alpha after controlling for size, value, momentum, and illiquidity factors. We attribute informed trading to hedge funds' ability to identify and correct stock underpricing. The results are robust to several ways of constructing and sorting the measure, and we do not find a return reversal in four quarters, indicating that the measure is information related.
期刊介绍：
The Journal of Financial Research(JFR) is a quarterly academic journal sponsored by the Southern Finance Association (SFA) and the Southwestern Finance Association (SWFA). It has been continuously published since 1978 and focuses on the publication of original scholarly research in various areas of finance such as investment and portfolio management, capital markets and institutions, corporate finance, corporate governance, and capital investment. The JFR, also known as the Journal of Financial Research, provides a platform for researchers to contribute to the advancement of knowledge in the field of finance.
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