Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Regulation

• 成果类型: Article
• 署名作者: Easley, David; O'Hara, Maureen; Yang, Liyan
• 署名单位: Cornell University; Cornell University; University of Toronto
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht079
• 发表日期: 2014
• 页码: 1190
• 关键词: LIMITED MARKET PARTICIPATION; model uncertainty; ambiguity; INFORMATION; QUALITY; CHOICE

摘要

We investigate the effect of ambiguity about hedge fund investment strategies on asset prices and aggregate welfare. We model some traders (mutual funds) as facing ambiguity about the equilibrium trading strategies of other traders (hedge funds). This ambiguity limits the ability of mutual funds to infer information from prices and has negative effects on market outcomes. We use this analysis to investigate the implications of regulations that affect disclosure requirements of hedge funds or the cost of operating a hedge fund. Our analysis demonstrates how regulations affect asset prices and welfare through their influence on opaque trading.