Hedge Funds and Equity Prices

Yawen Jiao

Review of Finance, 2013, vol. 17, issue 3, 1141-1177

Abstract: This article analyzes hedge funds' expansion during 2000--09 and its implications for stock returns. Hedge funds more than doubled their equity ownership prior to the 2007--09 financial crisis. In this expansion period, their trading predicts increasing one-quarter-ahead stock returns and return reversals in the 2nd year. These reversals stem from the expansion of mature funds, while young funds' trading predicts one-quarter-ahead returns without future reversals. The above price pressures disappear when hedge funds shift to contractions in the financial crisis. These findings are consistent with mature funds' expansions exerting pressures on equities and young funds possessing stock picking skills. Copyright 2013, Oxford University Press.

Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/10.1093/rof/rfs023 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:revfin:v:17:y:2013:i:3:p:1141-1177

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

Review of Finance is currently edited by Marcin Kacperczyk

More articles in Review of Finance from European Finance Association Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().