Alpha by Affiliation
Alpha by Affiliation
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阿尔法（按隶属关系）
DOI：
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发表时间：
2020
期刊：
影响因子：
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通讯作者：
J. Reuter
中科院分区：
文献类型：
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作者：
Nimesh Patel;Harold D. Spilker III;J. Reuter
使用新的数据建立对冲基金家族，我们表明，重叠对冲基金家族的立场的变化预测在美国股市的异常回报。一个多空投资组合的一致家庭进入和退出重叠的立场，赚取7.32%的年化阿尔法。面板回归和双重排序提供了证据的错误定价为基础的解释，结果是一致的基金家族面临约束短期销售限制协调退出。高信息不对称股票的回报率更高，这表明对冲基金家族在信息上进行了协调，尽管他们没有共同基金家族那样的共同法律的结构。
Using novel data establishing hedge fund families, we show that changes in overlapping hedge fund family positions predict abnormal returns in U.S. stocks. A long-short portfolio of unanimous family entries and exits in overlapping positions earns an annualized alpha of 7.32%. Panel regressions and double-sorts provide evidence for a mispricing-based explanation as results are consistent with fund families facing binding short sale constraints to coordinated exits. The returns are larger for high information asymmetry stocks and suggest that hedge fund families coordinate on information, despite having no shared legal structure like mutual fund families.