Journal of Financial Economics, Volume 121, Issue 3, September 2016, Pages 521-545, ISSN 0304-405X ，September 2016

获利于国会山：对冲基金经理的知情交易

作者：Meng Gao (University of Illinois at Urbana-Champaign)

Jiekun Huang (University of Illinois at Urbana-Champaign)

摘要：本文对对冲基金经理通过与政府说客之间的联系在证券交易中获得信息优势这一假说进行了检验。利用1999年至2012年间对冲基金长期持有的股票数据和与说客联系的数据，我们发现当对冲基金与说客保持联系时，对冲基金比基准被动型基金的月收益率高56-93个基点。此外，当一项意在提升政府官员可信力和公众力的法令（The Stop Trading on Congressional Knowledge (STOCK) Act）生效后，一些政治关联度高的基金的业绩显著降低。本研究为政治信息在金融市场上的传播以及由此对金融市场参与者带来的价值提供了证据。

关键词：对冲基金 说者 知情交易 业绩 信息转移

Capitalizing on Capitol Hill: Informed trading by hedge fund managers

Meng Gao (University of Illinois at Urbana-Champaign), Jiekun Huang (University of Illinois at Urbana-Champaign)

ABSTRACT

This paper examines the hypothesis that hedge fund managers gain an informational advantage in securities trading through their connections with lobbyists. Using data sets on the long-equity holdings and lobbyist connections of hedge funds from 1999 through 2012, we show that hedge funds outperform passive benchmarks by 56–93 basis points per month on their political holdings when they are connected to lobbyists. Furthermore, the political outperformance of connected funds decreased significantly after the Stop Trading on Congressional Knowledge (STOCK) Act became effective. Our study provides evidence on the transmission of political information in financial markets and on the value of such information to financial market participants.

原文链接：

http://www.sciencedirect.com/science/article/pii/S0304405X16300800

翻译：吴雨玲