Price changes around hedge fund trades: disentangling trading and disclosure effects
Price changes around hedge fund trades: disentangling trading and disclosure effects
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对冲基金交易的价格变化：解开交易和披露的影响
DOI：
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发表时间：
2013
期刊：
影响因子：
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通讯作者：
Giovanni Petrella
中科院分区：
文献类型：
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作者：
E. Croci;Giovanni Petrella
以前的研究发现，对冲基金在公司拥有大量股权的公告周围的股票市场反应积极，并利用这一证据来支持对冲基金激进主义创造价值的假设。一个共同的解释是，价格反应至少部分反映了与对冲基金交易相关的市场影响。我们利用区块持有人的法律的备案要求与意大利监管机构（CONFIGURE）分别检查交易和披露与对冲基金交易的影响。交易效应与对冲基金在市场上的购买活动有关，而披露效应则与市场预期未来激进主义并对对冲基金所有权声明作出反应的可能性有关。交易效应显著大于信息披露效应。这一结果意味着与对冲基金购买相关的价格影响解释了以前研究中完全归因于对冲基金激进主义的大部分价格反应。我们还发现，对冲基金的交易产生了一个永久性的变化，在股票价格，这发生在同等部分之前和同时的交易活动。对冲基金用来积累头寸的执行策略（在交易所或楼下交易与大宗交易或楼上交易）影响交易效应的大小和时间分布。
Previous studies find positive stock market reactions around announcements that hedge funds own large equity stakes in companies and use this evidence to support the hypothesis that hedge fund activism creates value. A concurrent explanation is that the price reaction reflects, at least in part, the market impact associated with hedge fund trades. We exploit the blockholder’s legal filing requirements with the Italian regulatory authority (CONSOB) to separately examine trading and disclosure effects associated with hedge fund trades. Trading effects are related to hedge funds’ buying activity on the market, whereas disclosure effects are related to the possibility that the market anticipates future activism and reacts to the announcement of hedge funds’ ownership. The trading effect is significantly larger than the disclosure effect. This result implies that the price impact associated with hedge fund purchases explains a large portion of the price reaction attributed exclusively to hedge fund activism in previous studies. We also find that trading by hedge funds produces a permanent change in the stock price, which occurs in equal part both prior to and concurrent to the trading activity. The execution strategy used by hedge funds to accumulate their position (on exchange or downstairs trading vs. block trading or upstairs) affects both the size and the temporal distribution of the trading effect.