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Hedge Fund Holdings and Stock Market Efficiency

  • Published:2017-05-09 Issue:1 Volume:8 Page:77-116
  • ISSN:2045-9920
  • Container-title:The Review of Asset Pricing Studies
  • language:en
  • Short-container-title:

Author:

Cao Charles1,Liang Bing2,Lo Andrew W3,Petrasek Lubomir4

Affiliation:

1. Smeal College of Business, Pennsylvania State University

2. Isenberg School of Management, University of Massachusetts

3. Sloan School of Management, Massachusetts Institute of Technology AlphaSimplex Group, LLC

4. Board of Governors of the Federal Reserve System

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance

Reference59 articles.

1. Uncovering hedge fund skills from the portfolio holdings they hide;Agarwal;Journal of Finance,2013

2. Role of managerial incentives and discretion in hedge fund performance;Agarwal;Journal of Finance,2009

3. Smart money, dumb money, and capital market anomalies;Akbas;Journal of Financial Economics,2015

4. Hedge fund leverage;Ang;Journal of Financial Economics,2011

5. Why do hedge funds avoid disclosure? Evidence from confidential 13F filings;Aragon;Journal of Financial and Quantitative Analysis,2013

Cited by 53 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Informed trading by hedge funds;Journal of Financial Research;2024-01-31

2. Hedge funds, systemic risk and the market for mortgage-backed securities;Cambridge Journal of Economics;2023-11-01

3. Are All Short-Term Institutional Investors Informed?;Financial Analysts Journal;2023-10-16

4. Do Hedge Funds Value Sell-Side Analysts Differently?;Journal of Banking & Finance;2023-09

5. On the Other Side of Hedge Fund Equity Trades;Management Science;2023-07-31
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