Do Hedge Funds Profit From Mutual-Fund Distress?
This paper explores the question of whether hedge funds engage in frontrunning strategies that exploit the predictable trades of others. One potential opportunity for front-running arises when distressed mutual funds-those suffering large outflows of assets under management-are forced to sell stocks they own. We document two pieces of evidence that are consistent with hedge funds taking advantage of this opportunity. First, in the time series, the average returns of long/short equity hedge funds are significantly higher in those months when a larger fraction of the mutual-fund sector is in distress. Second, at the individualstock level, short interest is abnormally high in advance of sales by distressed mutual funds.
Joseph Chen Samuel Hanson Harrison Hong Jeremy C. Stein
Harvard University Princeton University Harvard University and NBER
国际会议
大连
英文
1-45
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）