Hedge Funds and Public Information Acquisition

• 成果类型: Article
• 署名作者: Crane, Alan; Crotty, Kevin; Umar, Tarik
• 署名单位: Rice University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4466
• 发表日期: 2023
• 页码: 3241-3262
• 关键词: finance; INVESTMENT; asset pricing; HEDGE FUND; information acquisition; public information; INVESTMENT PERFORMANCE

摘要

Hedge funds actively acquire publicly available financial disclosures. Funds acquiring such information subsequently earn 1.5% higher annualized abnormal returns than nonacquirers. Trades by the same fund in the same quarter are more profitable when accompanied by public information acquisition. Acquiring public filings is relatively less profitable when macrouncertainty is high. Funds employ a wide range of strategies for acquiring public filings. Those that systematically scrape large volumes of information, specialize in certain filing types, acquire filings with more content changes, or access information immediately outperformother funds.