Hedge Fund Trading

Conviction And Volume: Measuring The Information Content Of Hedge Fund Trading

Conviction And Volume: Measuring The Information Content Of Hedge Fund Trading by Jonathan Rhinesmith, Scholar At Harward
Abstract

I provide novel evidence that hedge funds predict and drive the movement of asset prices towards fundamental value. Willingness to move prices, proxied by the share of trading volume consumed, reveals information: the volume consumed by quarterly hedge fund trades strongly predicts future stock returns. The top decile of purchases generates abnormal returns of 5-9% annualized during the following quarter (t-stat 4.4-6.5). Interpreting this phenomenon . . .

SORRY!

This content is exclusively for paying members. Access all of our content on including years of timeless investment news and in depth analysis for only a few dollars a month by signing up here while also supporting quality content and journalism, or learn more about our premium content here

If you are subscribed and having an account error please clear cache and then cookies if that does not work email support@valuewalk.com and we will get back to you as quick as humanly possible


Subscribe to our mailing list

* indicates required

Opt out of occasional 3rd party offers


0