Anticipatory Trading Against Distressed Mega Hedge Funds

• 成果类型: Article
• 署名作者: Agarwal, Vikas; Aragon, George O.; Nanda, Vikram; Wei, Kelsey
• 署名单位: University System of Georgia; Georgia State University; Arizona State University; Arizona State University-Tempe; University of Texas System; University of Texas Dallas
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf082
• 发表日期: 2025-12
• 页码: 3626-3672
• 关键词: G12; G20; G23; SHORT-SELLERS; stock-prices; performance; INVESTMENT; pressure; returns; IMPACT

摘要

Stocks expected to be sold by distressed mega hedge funds (MHFs) face anticipatory institutional selling and increased short interest. However, no evidence of anticipatory trading is found in stocks held by nondistressed MHFs, distressed non-MHFs, or stocks confidentially held by distressed MHFs, suggesting that public portfolio disclosure by large and closely followed distressed investors, and not common investment signals, drives anticipatory trading. Distressed MHFs with greater exposure to such anticipatory trading suffer 2.21% lower style-adjusted returns. Stocks subject to anticipatory trading experience negative abnormal returns followed by reversals, indicating the price destabilizing effect of anticipatory trading.