Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2021-05-08 DOI:10.1093/rapstu/raab013

von Beschwitz B, Lunghi S, Schmidt D, et al.

引用次数: 0

Abstract

We exploit detailed transaction and position data for a sample of long-short equity hedge funds to study the trading activity of fundamental investors. We find that hedge funds exhibit skill in opening positions, but that they close their positions too early, thereby forgoing about one-third of the trades’ potential profitability. We explain this behavior with the limits of arbitrage: hedge funds close positions early in order to reallocate their capital to more profitable investments and/or to accommodate tightened financial constraints. Consistent with this view, we document that hedge funds leave more money on the table after opening new positions, negative returns, or increases in funding constraints and volatility. (JEL G11, G12, G14, G15)

查看原文本刊更多论文

显微镜下的基本面套利:来自对冲基金交易数据的证据

摘要本文以多空股票型对冲基金为样本，利用详细的交易和持仓数据，研究基本面投资者的交易行为。我们发现，对冲基金在开仓方面表现出技巧，但他们过早平仓，从而放弃了约三分之一的交易潜在盈利能力。我们用套利的限制来解释这种行为:对冲基金提前平仓是为了将资金重新配置到更有利可图的投资和/或适应收紧的金融约束。与这一观点一致的是，我们证明对冲基金在开设新头寸、负回报或资金约束和波动性增加后，会留下更多的资金。(凝胶g11, g12, g14, g15)

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.