Did the STOCK Act impact the performance, risk and flow of hedge funds?

Laleh Samarbakhsh and Meet Shah

International Journal of Managerial Finance, 2021, vol. 18, issue 5, 944-978

Abstract: Purpose - This research aims to examine hedge funds’ performance, risk and flow before and after the implementation of the Stop Trading on Congressional Knowledge (STOCK) Act. Design/methodology/approach - This paper includes the use of different factor models to highlight the performance and risk of hedge funds before and after the implementation of the STOCK Act. Hedge fund holdings are retrieved from Thomson Reuters Lipper Hedge Fund Database (TASS). Findings - This study finds significant differences before and after the implementation of the STOCK Act. The results for the entire sample period indicate that hedge funds suffered lower-alpha, standard deviation and idiosyncratic risk after the implementation of the STOCK Act. Originality/value - The paper’s originality and value lie in addressing the relationship gap between the STOCK Act and hedge fund performance.

Keywords: Hedge funds; Legislative acts; Fund flow; Policy performance; G11; G23; G38 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eme:ijmfpp:ijmf-04-2021-0174

DOI: 10.1108/IJMF-04-2021-0174

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