A unique view of hedge fund derivatives usage: Safeguard or speculation?

• 成果类型: Article
• 署名作者: Aragon, George O.; Martin, J. Spencer
• 署名单位: Arizona State University; Arizona State University-Tempe; University of Melbourne
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.02.004
• 发表日期: 2012
• 页码: 436-456
• 关键词: HEDGE FUNDS; options; derivatives; market efficiency

摘要

We study the common equity and equity option positions of hedge fund investment advisors over the 1999-2006 period. We find that hedge funds' stock positions predict future returns and that option positions predict both volatility and returns on the underlying stock. A quarterly tracking portfolio of stocks based on publicly observable hedge fund option holdings earns abnormal returns of 1.55% through the end of the quarter. Net of fees, hedge funds using options deliver higher benchmark-adjusted portfolio returns and lower risk than nonusers. The results suggest that hedge fund positions reflect significant timing and selectivity skill. (C) 2012 Elsevier B.V. All rights reserved.