On the Other Side of Hedge Fund Equity Trades

Wang, George and Kolokolova, Olga and Cui, Xinyu (2023) On the Other Side of Hedge Fund Equity Trades. Management Science. ISSN 0025-1909

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Hedge funds earn positive ex-post abnormal returns and avoid negative abnormal returns on their equity portfolios when trading in the opposite direction of highly-diversified low-turnover institutional investors (quasi-indexers). This pattern seems to be driven by the preferences of quasiindexers for high-market-beta stocks together with the ability of hedge funds to identify subsets of especially profitable trades. It remains pronounced when accounting for other determinants of hedge fund trades, such as stock liquidity, market anomalies, and major corporate events. Trading against other institutional investors or non-institutions does not result in abnormal performance for hedge funds.

Item Type:
Journal Article
Journal or Publication Title:
Management Science
Uncontrolled Keywords:
Research Output Funding/no_not_funded
?? institutional tradingalpha, market betamarket anomaliesquasi-indexershedge fundsno - not fundedstrategy and managementmanagement science and operations researchg12g14g23 ??
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Deposited On:
24 Feb 2023 14:35
Last Modified:
17 May 2024 01:45