Hedge funds and the technology bubble

• 成果类型: Article
• 署名作者: Brunnermeier, MK; Nagel, S
• 署名单位: Princeton University; Stanford University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2004.00690.x
• 发表日期: 2004
• 页码: 2013-2040
• 关键词: transactions costs; LIMITED ARBITRAGE; performance; RISK; style; management; valuation; return

摘要

This paper documents that hedge funds did not exert a correcting force on stock prices during the technology bubble. Instead, they were heavily invested in technology stocks. This does not seem to be the result of unawareness of the bubble: Hedge funds captured the upturn, but, by reducing their positions in stocks that were about to decline, avoided much of the downturn. Our findings question the efficient markets notion that rational speculators always stabilize prices. They are consistent with models in which rational investors may prefer to ride bubbles because of predictable investor sentiment and limits to arbitrage.