Hedge Fund Crowds and Mispricing

• 成果类型: Article
• 署名作者: Sias, Richard; Turtle, H. J.; Zykaj, Blerina
• 署名单位: University of Arizona; Colorado State University System; Colorado State University Fort Collins; University System of Ohio; University of Toledo
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2014.2131
• 发表日期: 2016
• 页码: 764-784
• 关键词: HEDGE FUNDS; CROWDS; market efficiency

摘要

Recent models and the popular press suggest that large groups of hedge funds follow similar strategies resulting in crowded equity positions that destabilize markets. Inconsistent with this assertion, we find that hedge fund equity portfolios are remarkably independent. Moreover, when hedge funds do buy and sell the same stocks, their demand shocks are, on average, positively related to subsequent raw and risk-adjusted returns. Even in periods of extreme market stress, we find no evidence that hedge fund demand shocks are inversely related to subsequent returns. Our results have important implications for the ongoing debate regarding hedge fund regulation.