The Information in Hedge Fund Option Holdings

• 成果类型: Article
• 署名作者: Anand, Amber; Hua, Jian; Puckett, Andy
• 署名单位: Syracuse University; City University of New York (CUNY) System; Baruch College (CUNY); University of Tennessee System; University of Tennessee Knoxville
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4785
• 发表日期: 2024
• 页码: 1832-1854
• 关键词: HEDGE FUNDS; options; SHORT SALES; CRISIS

摘要

We provide new insights on how hedge funds use options and short-selling channels to trade on their negative information. Bearish information in hedge fund option positions is economically large, distinct from information in short interest, and it is the combination of option positions and short interest that provides the strongest information signal. A portfolio of stocks with high short interest and bearish hedge fund option positions predicts negative abnormal returns that are more than four times as large as the portfolio with high short interest and bullish options positions. The information in hedge fund option positions increases during periods of market stress, whereas that in short interest does not. This increase is concentrated in capital-constrained hedge funds, suggesting that options provide a channel for capital-constrained hedge funds to exploit their information advantage.