HEDGE FUND TRADING AND PERFORMANCE
HEDGE FUND TRADING AND PERFORMANCE
Description
In the rst essay, I create a hedge fund informed trading measure (ITM) that separates information related trades from liquidity driven trades. The results indicate that ITM predicts future stock returns at the trade level, thus is associated with information.
By aggregating the most informed trades at the stock level, I nd that stocks heavily purchased by informed hedge funds earn a signicant alpha. The results indicate that the ITM performs better than some previously documented measures and is robust to
two dierent versions of the measure. The second essay exploits the expiring nature of hedge fund lockups to create a new, within-fund proxy of funding liquidity risk. When funds have lower funding liquidity risk, risk-adjusted performance improves and exposure to tail risk increases. We use fund xed-eects, a placebo approach, and a regression discontinuity design to establish a link between funding liquidity risk and the ability of funds to capitalize on risky mispricing. The third essay explores hedge fund managers ability to identify and trade on stock mispricing opportunity.
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