Prime (information) brokerage

• 成果类型: Article
• 署名作者: Kumar, Nitish; Mullally, Kevin; Ray, Sugata; Tang, Yuehua
• 署名单位: State University System of Florida; University of Florida; State University System of Florida; University of Central Florida; University of Alabama System; University of Alabama Tuscaloosa
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.02.010
• 发表日期: 2020
• 页码: 371-391
• 关键词: HEDGE FUNDS; Prime brokers; Investment banks; Informed trading; Loan originations

摘要

We show that hedge funds gain an information advantage from their prime broker banks regarding the banks' corporate borrowers. The connected hedge funds make abnormally large trades in the stocks of borrowing firms prior to loan announcements, and these trades outperform other trades. The outperformance is particularly strong for trades of hedge funds that have high revenue potential for prime broker banks. These informed trades appear to be based on information not just about the loan itself but also about firms' fundamentals such as future earnings. Finally, we find evidence suggesting that equity analysts inside the banks are one potential conduit of information transfer. (C) 2020 Elsevier B.V. All rights reserved.