Hedge Funds and Public Information Acquisition

Alan Crane (), Kevin Crotty () and Tarik Umar ()
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Alan Crane: Jones Graduate School of Business, Rice University, Houston, Texas 77005
Kevin Crotty: Jones Graduate School of Business, Rice University, Houston, Texas 77005
Tarik Umar: Jones Graduate School of Business, Rice University, Houston, Texas 77005

Management Science, 2023, vol. 69, issue 6, 3241-3262

Abstract: Hedge funds actively acquire publicly available financial disclosures. Funds acquiring such information subsequently earn 1.5% higher annualized abnormal returns than nonacquirers. Trades by the same fund in the same quarter are more profitable when accompanied by public information acquisition. Acquiring public filings is relatively less profitable when macrouncertainty is high. Funds employ a wide range of strategies for acquiring public filings. Those that systematically scrape large volumes of information, specialize in certain filing types, acquire filings with more content changes, or access information immediately outperform other funds.

Keywords: finance; investment; asset pricing; hedge fund; information acquisition; public information; investment performance (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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