Hedge Funds and Public Information Acquisition

Published Online:https://doi.org/10.1287/mnsc.2022.4466

References

  • Agarwal V, Daniel ND, Naik NY (2009) Role of managerial incentives and discretion in hedge fund performance. J. Finance 64(5):2221–2256.CrossrefGoogle Scholar
  • Agarwal V, Jiang W, Tang Y, Yang B (2013) Uncovering hedge fund skill from the portfolio holdings they hide. J. Finance 68(2):597–635.CrossrefGoogle Scholar
  • Ahern K, Sosyura D (2015) Rumor has it: Sensationalism in financial media. Rev. Financial Stud. 28(7):2050–2093.CrossrefGoogle Scholar
  • Aragon GO (2007) Share restrictions and asset pricing: Evidence from the hedge fund industry. J. Financial Econom. 83(1):33–58.CrossrefGoogle Scholar
  • Aragon GO, Hertzel M, Shi Z (2013) Why do hedge funds avoid disclosure? Evidence from confidential 13F filings. J. Financial Quant. Anal. 48(5):1499–1518.CrossrefGoogle Scholar
  • Barber BM, Odean T (2008) All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Rev. Financial Stud. 21(2):785–818.CrossrefGoogle Scholar
  • Bauguess S, Cooney J Jr, Hanley KW (2018) Investor demand for information in newly issued securities. Working Paper SEC, Texas Tech, Lubbock, TX; and Lehigh University, Bethlehem, PA.Google Scholar
  • Ben-Rephael A, Da Z, Israelsen RD (2017) It depends on where you search: Institutional investor attention and underreaction to news. Rev. Financial Stud. 30(9):3009–3047.CrossrefGoogle Scholar
  • Bozanic Z, Hoopes JL, Thornock JR, Williams BM (2017) IRS attention. J. Accounting Res. 55(1):79–114.CrossrefGoogle Scholar
  • Carhart MM (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.CrossrefGoogle Scholar
  • Carter ME, Soo BS (1999) The relevance of form 8-K reports. J. Accounting Res. 37(1):119–132.CrossrefGoogle Scholar
  • Chakrabarty B, Moulton P (2012) Earnings announcements and attention constraints: The role of market design. J. Accounting Econom. 53(3):612–634.CrossrefGoogle Scholar
  • Chemmanur T, Yan A (2009) Product market advertising and new equity issues. J. Financial Econom. 92(1):40–65.CrossrefGoogle Scholar
  • Chen Y, Cliff M, Zhao H (2017) Hedge funds: The good, the bad, and the lucky. J. Financial Quant. Anal. 52(3):1081–1109.CrossrefGoogle Scholar
  • Chen Y, Kelly B, Wu W (2020b) Sophisticated investors and market efficiency: Evidence from a natural experiment. J. Financial Econom. 138(2):316–341.CrossrefGoogle Scholar
  • Chen H, Cohen L, Gurun U, Lou D, Malloy CJ (2020a) IQ from IP: Simplifying search in portfolio choice. J. Financial Econom. 138(1):118–137.CrossrefGoogle Scholar
  • Cohen L, Malloy CJ, Nguyen QH (2020) Lazy prices. J. Finance 75(3):1371–1415.CrossrefGoogle Scholar
  • Corwin S, Coughenour J (2008) Limited attention and the allocation in securities trading of effort. J. Finance 63(6):3031–3067.CrossrefGoogle Scholar
  • Da Z, Engelberg J, Gao P (2011) In search of attention. J. Finance 66(5):1461–1499.CrossrefGoogle Scholar
  • Drake MS, Quinn PJ, Thornock JR (2017) Who uses financial statements? A demographic analysis of financial statement downloads from EDGAR. Accounting Horizons 31(3):55–68.CrossrefGoogle Scholar
  • Drake M, Roulstone D, Thornock J (2012) Investor information demand: Evidence from Google searches around earnings announcements investor information demand. J. Accounting Res. 50(4):1001–1040.CrossrefGoogle Scholar
  • Drake MS, Roulstone DT, Thornock JR (2015) The determinants and consequences of information acquisition via EDGAR. Contemporary Accounting Res. 32(3):1128–1161.CrossrefGoogle Scholar
  • Drake MS, Roulstone DT, Thornock JR (2016) The usefulness of historical accounting reports. J. Accounting Econom. 61(2):448–464.CrossrefGoogle Scholar
  • Drake MS, Johnson BA, Roulstone DT, Thornock JR (2020) Is there information content in information acquisition? Accounting Rev. 95(2):113–139.CrossrefGoogle Scholar
  • Dyer TA (2021) The demand for public information by local and nonlocal investors: Evidence from investor-level data. J. Accounting Econom. 72(1):101417.CrossrefGoogle Scholar
  • Fama EF, French KR (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.CrossrefGoogle Scholar
  • Fang L, Peress J (2009) Media coverage and the cross-section of stock returns. J. Finance 64(5):2023–2052.CrossrefGoogle Scholar
  • Fung W, Hsieh DA (2000) Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases. J. Financial Quant. Anal. 35(3):291–307.CrossrefGoogle Scholar
  • Fung W, Hsieh DA (2001) The risk in hedge fund strategies: Theory and evidence from trend followers. Rev. Financial Stud. 18(4):313–341.CrossrefGoogle Scholar
  • Gao M, Huang J (2016) Capitalizing on Capitol Hill: Informed trading by hedge fund managers. J. Financial Econom. 121(3):521–545.CrossrefGoogle Scholar
  • Gao M, Huang J (2020) Informing the market: The effect of modern information technologies on information production. Rev. Financial Stud. 33(4):1367–1411.CrossrefGoogle Scholar
  • Gargano A, Rossi AG, Wermers R (2017) The Freedom of Information Act and the race toward information acquisition. Rev. Financial Stud. 30(6):2179–2228.CrossrefGoogle Scholar
  • Garleanu NB, Pedersen LH (2018) Efficiently inefficient markets for assets and asset management. J. Finance 73(4):1663–1712.CrossrefGoogle Scholar
  • Gervais S, Kaniel R, Mingelgrin D (2001) The high-volume return premium. J. Finance 56(3):877–919.CrossrefGoogle Scholar
  • Gibbons B, Iliev P, Kalodimos J (2021) Analyst information acquisition via EDGAR. Management Sci. 67(2):769–793.LinkGoogle Scholar
  • Goldstein I, Yang L (2015) Information diversity and complementarities in trading and information acquisition. J. Finance 70(4):1723–1765.CrossrefGoogle Scholar
  • Grossman SJ, Stiglitz JE (1980) On the impossibility of informationally efficient markets. Amer. Econom. Rev. 70(3):393–408.Google Scholar
  • Grullon G, Kanatas G, Weston JP (2004) Advertising, breadth of ownership, and liquidity. Rev. Financial Stud. 17(2):439–461.CrossrefGoogle Scholar
  • Hirshleifer D, Teoh SH (2003) Limited attention, information disclosure, and financial reporting. J. Accounting Econom. 36(1–3):337–386.CrossrefGoogle Scholar
  • Hirshleifer D, Lim SS, Teoh SH (2009) Driven to distraction: Extraneous events and underreaction to earnings news. J. Finance 64(5):2289–2325.CrossrefGoogle Scholar
  • Hou K, Peng L, Xiong W (2009) A tale of two anomalies: The implications of investor attention for price and earnings momentum. Working paper, Ohio State University, Columbus, OH.Google Scholar
  • Kacperczyk M, Seru A (2007) Fund manager use of public information: New evidence on managerial skills. J. Finance 62(2):485–528.CrossrefGoogle Scholar
  • Kacperczyk M, Van Nieuwerburgh S, Veldkamp L (2014) Time-varying fund manager skill. J. Finance 69(4):1455–1484.CrossrefGoogle Scholar
  • Kacperczyk M, Van Nieuwerburgh S, Veldkamp L (2016) A rational theory of mutual funds’ attention allocation. Econometrica 84(2):571–626.CrossrefGoogle Scholar
  • Kim O, Verrecchia RE (1997) Pre-announcement and event-period private information. J. Accounting Econom. 24(3):395–419.CrossrefGoogle Scholar
  • Li FW, Sun C (2022) Information acquisition and expected returns: Evidence from EDGAR search traffic. J. Econom. Dynam. Control. Forthcoming.Google Scholar
  • Li J, Yu J (2012) Investor attention, psychological anchors, and stock return predictability. J. Financial Econom. 104(2):401–419.CrossrefGoogle Scholar
  • Li E, Lind G, Ramesh K, Shen M (2017) The Federal Reserve’s reliance on SEC filings. Working paper, Baruch College, New York.Google Scholar
  • Lou D (2014) Attracting investor attention through advertising. Rev. Financial Stud. 27(6):1797–1829.CrossrefGoogle Scholar
  • Loughran T, McDonald B (2011) When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. J. Finance 66(1):35–65.CrossrefGoogle Scholar
  • Loughran T, McDonald B (2017) The use of EDGAR filings by investors. J. Behav. Finance 18(2):231–248.CrossrefGoogle Scholar
  • Massoud N, Nandy D, Saunders A, Song K (2011) Do hedge funds trade on private information? Evidence from syndicated lending and short-selling. J. Financial Econom. 99(3):477–499.CrossrefGoogle Scholar
  • Shi Z (2017) The impact of portfolio disclosure on hedge fund performance. J. Financial Econom. 126(1):36–53.CrossrefGoogle Scholar
  • Stulz RM (2007) Hedge funds: Past, present, and future. J. Econom. Perspect. 21(2):175–194.CrossrefGoogle Scholar
  • Sun Z, Wang A, Zheng L (2011) The road less traveled: Strategy distinctiveness and hedge fund performance. Rev. Financial Stud. 25(1):96–143.CrossrefGoogle Scholar
  • Titman S, Tiu C (2011) Do the best hedge funds hedge? Rev. Financial Stud. 24(1):123–168.CrossrefGoogle Scholar
  • Van Nieuwerburgh S, Veldkamp L (2010) Information acquisition and under-diversification. Rev. Econom. Stud. 77(2):779–805.CrossrefGoogle Scholar
  • Yuan Yu (2015) Market-wide attention, trading, and stock returns. J. Financial Econom. 116(3):548–564.CrossrefGoogle Scholar
  • Zhang FX (2006) Information uncertainty and stock returns. J. Finance 61(1):105–137.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.