Abstract

http://ssrn.com/abstract=1906932
 
 

Citations (2)



 
 

Footnotes (37)



 


 



Hedge Fund Crowds and Mispricing


Blerina Bela Zykaj


The University of Toledo

Richard W. Sias


University of Arizona - Department of Finance

Harry J. Turtle


Colorado State University, Fort Collins - Department of Finance & Real Estate

September 5, 2014


Abstract:     
Recent models and the popular press suggest that large groups of hedge funds follow similar strategies resulting in crowded equity positions that destabilize markets. Inconsistent with this assertion, we find that hedge fund equity portfolios are remarkably independent. Moreover, when hedge funds do buy and sell the same stocks, their demand shocks are, on average, positively related to subsequent raw and risk-adjusted returns. Even in periods of extreme market stress, we find no evidence that hedge fund demand shocks are inversely related to subsequent returns. Our results have important implications for the ongoing debate regarding hedge fund regulation.

Number of Pages in PDF File: 44

Keywords: hedge funds, crowds, market efficiency

JEL Classification: G01, G12, G14, G23


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Date posted: August 16, 2011 ; Last revised: December 8, 2014

Suggested Citation

Zykaj, Blerina Bela and Sias, Richard W. and Turtle, Harry J., Hedge Fund Crowds and Mispricing (September 5, 2014). Available at SSRN: http://ssrn.com/abstract=1906932 or http://dx.doi.org/10.2139/ssrn.1906932

Contact Information

Blerina Bela Zykaj
The University of Toledo ( email )
Department of Finance
Toledo, OH 43606
United States
(419) 530-4056 (Phone)
Richard W. Sias (Contact Author)
University of Arizona - Department of Finance ( email )
McClelland Hall
P.O. Box 210108
Tucson, AZ 85721-0108
United States
Harry J. Turtle
Colorado State University, Fort Collins - Department of Finance & Real Estate ( email )
Fort Collins, CO 80523
United States
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