| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10471
|
| DP10471 Short Selling Meets Hedge Fund 13F: An Anatomy of Informed Demand |
| Massimo Massa
|
| 发表日期 | 2015-03-08
|
| 出版年 | 2015
|
| 语种 | 英语
|
| 摘要 | The existing literature treats the short side (i.e., short selling) and long side of hedge fund trading (i.e., changes in holdings) independently. The two sides, however, complement each other in revealing important economic motivations of trading: opposite changes in short interest and hedge fund holdings are likely to be driven by information, whereas simultaneous increases (decreases) in short interest and hedge fund holdings may be motivated by hedging (unwinding) considerations. We use this intuition to identify informed demand, and document that it exhibits highly significant predictive power on returns: stocks with informed long demand can outperform stocks with informed short demand by approximately 10% per year. We also find that informed demand forecasts future firm fundamentals (e.g., ROA, earnings surprise, analyst revision) but that it is less related to mutual fund flows or liquidity provision. These findings suggest that information discovery about firm fundamentals could be among the most important drivers for informed demand. |
| 主题 | Financial Economics
|
| 关键词 | Short-selling
|
| URL | https://cepr.org/publications/dp10471
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539303
|
推荐引用方式
GB/T 7714 |
Massimo Massa. DP10471 Short Selling Meets Hedge Fund 13F: An Anatomy of Informed Demand. 2015.
|
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
