The Information in Hedge Fund Option Holdings
References
- (2018) An examination of 13F filings. J. Financial Res. 41(3):295–324.Crossref, Google Scholar
- (2012) A unique view of hedge fund derivatives usage: Safeguard or speculation? J. Financial Econom. 105(2):436–456.Crossref, Google Scholar
- (2005) Short interest, institutional ownership, and stock returns. J. Financial Econom. 78(2):243–276.Crossref, Google Scholar
- (1993) Asymmetric information and options. Rev. Financial Stud. 6(3):435–472.Crossref, Google Scholar
- (1981) The relationship between return and market value of common stocks. J. Financial Econom. 9(1):3–18.Crossref, Google Scholar
- (2017) Informed trading and price discovery before corporate events. J. Financial Econom. 125(3):561–588.Crossref, Google Scholar
- (2021) Do (should) brokers route limit orders to options exchanges that purchase order flow? J. Financial Quant. Anal. 56(1):183–211.Crossref, Google Scholar
- (2012) Hedge fund stock trading in financial crisis of 2007–2009. Rev. Financial Stud. 25(1):1–54.Crossref, Google Scholar
- (1990) Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. J. Accounting Econom. 13(4):305–340.Crossref, Google Scholar
- (1975) Fact and fantasy in use of options. Financial Anal. J. 31(4):36–72.Crossref, Google Scholar
- (2010) The good news in short interest. J. Financial Econom. 96(1):80–97.Crossref, Google Scholar
- (2008) Which shorts are informed? J. Finance 63(2):491–527.Crossref, Google Scholar
- (1995) Investment analysis and price formation in securities markets. J. Financial Econom. 38(3):361–381.Crossref, Google Scholar
- (2004) Hedge funds and the technology bubble. J. Finance 59(5):2013–2040.Crossref, Google Scholar
- (2009) Market liquidity and funding liquidity. Rev. Financial Stud. 22(6):2201–2238.Crossref, Google Scholar
- (2011) Derivatives use and risk taking: Evidence from the hedge fund industry. J. Financial Quant. Anal. 46(4):1073–1106.Crossref, Google Scholar
- (2019) Arbitrage trading: The long and the short of it. Rev. Financial Stud. 32(4):1608–1646.Crossref, Google Scholar
- (2021) Information trading in the stock market and option price discovery. J. Financial Quant. Anal. 56(6):1945–1984.Crossref, Google Scholar
- (1997) Measuring mutual fund performance with characteristic-based benchmarks. J. Finance 52(3):1035–1058.Crossref, Google Scholar
- (2002) The market for borrowing stock. J. Financial Econom. 66(2–3):271–306.Crossref, Google Scholar
- (2002) An investigation of the informational role of short interest in the Nasdaq market. J. Finance 57(5):2263–2287.Crossref, Google Scholar
- (2022) Business cycle variation in short selling strategies: Picking during expansions and timing during recessions. J. Financial Quant. Anal. 57(8):3018–3047.Crossref, Google Scholar
- (1998) Option volume and stock prices: Evidence on where informed traders trade. J. Finance 53(2):431–465.Crossref, Google Scholar
- (2016) Institutional investors and stock return anomalies. J. Financial Econom. 119(3):472–488.Crossref, Google Scholar
- (2018) Short-selling risk. J. Finance 73(2):755–786.Crossref, Google Scholar
- (2020) The loan fee anomaly: A short seller’s best ideas. Working paper, University of California San Diego, San Diego.Google Scholar
- (1992) Herd on the street: Informational inefficiencies in a market with short-term speculation. J. Finance 47(4):1461–1484.Crossref, Google Scholar
- (2016) Why does the option to stock volume ratio predict stock returns? J. Financial Econom. 120(3):601–622.Crossref, Google Scholar
- Goldman Sachs (2010) Hedge Fund Monitor, 2010Q2 Portfolio Strategy Report, New York.Google Scholar
- (2017) Investor flows and fragility in corporate bond funds. J. Financial Econom. 126(3):592–613.Crossref, Google Scholar
- (2009) How smart are the smart guys? A unique view from hedge fund stock holdings. Rev. Financial Stud. 22(7):2531–2570.Crossref, Google Scholar
- (2002) Equilibrium and welfare in markets with financially constrained arbitrageurs. J. Financial Econom. 66(2–3):361–407.Crossref, Google Scholar
- (1994) Security analysis and trading patterns when some investors receive information before others. J. Finance 49(5):1665–1698.Crossref, Google Scholar
- (2020) Innovation and informed trading: Evidence from industry ETFs. Rev. Financial Stud. 34(3):1280–1316.Crossref, Google Scholar
- (2019) Arbitrage involvement and security prices. Management Sci. 65(6):2858–2875.Link, Google Scholar
- (2010) Do hot hands exist among hedge fund managers? An empirical evaluation. J. Finance 65(1):217–255.Crossref, Google Scholar
- (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(1):65–91.Crossref, Google Scholar
- (2016) Short selling meets hedge fund 13F: An anatomy of informed demand. J. Financial Econom. 122(3):544–567.Crossref, Google Scholar
- (2023) Information content of hedge fund equity option holdings. J. Alternative Investments 25(4):119–147.Google Scholar
- (2013) A multiple lender approach to understanding supply and demand in the equity lending market. J. Finance 68(2):559–595.Crossref, Google Scholar
- (2007) Do hedge funds deliver alpha? A Bayesian and bootstrap analysis. J. Financial Econom. 84(1):229–264.Crossref, Google Scholar
- (1992) The impact of institutional trading on stock prices. J. Financial Econom. 32(1):23–43.Crossref, Google Scholar
- (2006) Comparing the post–earnings announcement drift for surprises calculated from analyst and time series forecasts. J. Accounting Res. 44(10):177–205.Crossref, Google Scholar
- (2020) Options trading costs are lower than you think. Rev. Financial Stud. 33(11):4973–5014.Crossref, Google Scholar
- (2012) Evaporating liquidity. Rev. Financial Stud. 25(7):2005–2039.Crossref, Google Scholar
- (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
- (2010) O/S: The relative trading activity in options and stock. J. Financial Econom. 96(1):1–17.Crossref, Google Scholar
- (2020) What makes short selling risky: Other short sellers. Working paper, University of Notre Dame, Notre Dame, IN.Google Scholar
- (1997) The limits of arbitrage. J. Finance 52(1):35–55.Crossref, Google Scholar
- (2016) How informed are hedge fund option strategies? Working paper, University of New South Wales, Sydney, NSW, Australia.Google Scholar
- (2004) Is money really “smart”? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. Working paper, University of Maryland, College Park, MD.Google Scholar

