| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13786 |
| 来源ID | Working Paper 13786 |
| Do Hedge Funds Profit From Mutual-Fund Distress? | |
| Joseph Chen; Samuel Hanson; Harrison Hong; Jeremy C. Stein | |
| 发表日期 | 2008-02-07 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | This paper explores the question of whether hedge funds engage in front-running strategies that exploit the predictable trades of others. One potential opportunity for front-running arises when distressed mutual funds -- those suffering large outflows of assets under management -- are forced to sell stocks they own. We document two pieces of evidence that are consistent with hedge funds taking advantage of this opportunity. First, in the time series, the average returns of long/short equity hedge funds are significantly higher in those months when a larger fraction of the mutual-fund sector is in distress. Second, at the individual stock level, short interest rises in advance of sales by distressed mutual funds. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions ; Corporate Finance ; Public Economics |
| URL | https://www.nber.org/papers/w13786 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571461 |
| 推荐引用方式 GB/T 7714 | Joseph Chen,Samuel Hanson,Harrison Hong,et al. Do Hedge Funds Profit From Mutual-Fund Distress?. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13786.pdf（169KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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