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Hedge Fund Holdings and Stock Market Efficiency
| Content Provider | Scilit |
|---|---|
| Author | Cao, Charles Liang, Bing Petrasek, Lubomir |
| Copyright Year | 2016 |
| Description | Journal: SSRN Electronic Journal We study the relation between hedge fund equity holdings and measures of informational efficiency of stock prices derived from intraday transactions, as well as daily data. Our findings support the role of hedge funds as arbitrageurs who reduce mispricing in the market. Hedge funds invest in relatively inefficiently priced stocks, and the price efficiency of these stocks improves after hedge funds increase their holdings. Hedge fund ownership contributes more to efficient pricing than does ownership by other types of institutional investors. However, stocks held by hedge funds experienced large declines in price efficiency during several liquidity crises. |
| Related Links | http://www.federalreserve.gov/pubs/feds/2014/201436/201436pap.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2793513 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2793513 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2016-01-01 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Hedge Funds Institutional Investors Equity Holdings Market Efficiency Liquidity Crises |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |