Who benefits in a crisis? Evidence from hedge fund stock and option holdings

• 成果类型: Article
• 署名作者: Aragon, George O.; Martin, J. Spencer; Shi, Zhen
• 署名单位: Arizona State University; Arizona State University-Tempe; University of Melbourne; University System of Georgia; Georgia State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.09.008
• 发表日期: 2019
• 页码: 345-361
• 关键词: HEDGE FUNDS; Opportunistic trading; Lockups; options; derivatives; financial crises

摘要

We use a unique data set of hedge fund long equity and equity option positions to investigate a significant lockup-related premium earned during the tech bubble (1999-2001) and financial crisis (2007-2009). Net fund flows are significantly greater among lockup funds during crisis and noncrisis periods. Managers of hedge funds with locked-up capital trade opportunistically against flow-motivated trades of non-lockup managers, consistent with a hypothesis of rent extraction in providing crisis era liquidity. The success of this opportunistic trading is concentrated during periods of high borrowing costs, in less liquid stock markets, and is enhanced by hedging in the equity option market. (C) 2018 Elsevier B.V. All rights reserved.