Review of Asset Pricing Studies, Volume 8, Issue 1, June 2018, Pages 117–152

对冲基金是否拥有IPO股票的私有信息?来自IPO后持有量的证据

作者：Hong Qian (Oakland University, USA)

Zhaodong (Ken) Zhong (Rutgers University, USA)

摘要：利用对冲基金持有的IPO股票，我们发现基于股票和交易特征的对冲基金持有量异常高的股票会产生异常收益。此外，对冲基金能够在长期表现不佳的时期开始之前及时卖出IPO股票，这表明对冲基金在IPO股票中拥有信息优势。最后，我们讨论了对冲基金可能从何处获得信息优势的问题。当主要经纪商同时充当IPO承销商时，对冲基金在“关联”股票上会获得更高的异常回报，这表明这种关联使对冲基金能够在IPO股票上做出更明智的投资决策。

Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings

Hong Qian (Oakland University, USA), Zhaodong (Ken) Zhong (Rutgers University, USA)

ABSTRACT

Using hedge funds’ holdings of IPO stocks, we find that stocks with abnormally high hedge fund holdings, based on stock and deal characteristics, yield abnormal returns. Moreover, hedge funds are able to sell IPO stocks in a timely fashion before long-run underperforming periods start, suggesting that hedge funds possess information advantages in IPO stocks. Finally, we address the question of where hedge funds may have obtained their information advantages. Hedge funds earn higher abnormal returns in “connected” stocks when their prime brokers also serve as IPO underwriters, indicating that such connections enable hedge funds to make more informed investment decisions in IPO stocks.

原文链接：https://academic.oup.com/raps/article-abstract/8/1/117/3978915?redirectedFrom=fulltext

翻译：阙江静