학회소식
[2013년 제 4차] Hedge Fund Piggyback Investing
작성자 : 관리자
조회수 : 1072
게시일 :
2013-12-16
Using pooled data on mutual funds’ high-frequency transactions and hedge funds’ mandatory disclosures of stock holdings during 2000-2011, we show that mutual funds that have stronger incentives to exploit the information released from hedge funds’ disclosures earn significant abnormal returns from their copycat trades. The abnormal returns are particularly higher when mutual funds follow hedge funds with low portfolio turnover. Finally, we find that on the disclosure date, mutual funds substantially increase their purchases of hedge fund holdings, particularly those disclosed by low portfolio turnover hedge funds, suggesting that they engage in copycat trading strategies.
