Short selling meets hedge fund 13F: An anatomy of informed demand

• 成果类型: Article
• 署名作者: Jiao, Yawen; Massa, Massimo; Zhang, Hong
• 署名单位: University of California System; University of California Riverside; INSEAD Business School; Tsinghua University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.09.001
• 发表日期: 2016
• 页码: 544-567
• 关键词: Short selling; Hedge funds; 13F; Informed demand; hedging

摘要

The existing literature treats the short side (i.e., short selling) and the long side of hedge fund trading (i.e., fund holdings) independently. The two sides, however, complement each other: opposite changes in the two are likely to be driven by information, whereas simultaneous increases (decreases) of the two may be motivated by hedging (unwinding) considerations. We use this intuition to identify informed demand and document that it exhibits highly significant predictive power over returns (approximately 10% per year). We also find that informed demand forecasts future firm fundamentals, suggesting that hedge funds play an important role in information discovery. (C) 2016 Elsevier B.V. All rights reserved.