Information in Financial Markets: Who Gets It First?
Journal of Business and Finance, forthcoming
41 Pages Posted: 17 May 2014 Last revised: 28 Mar 2022
There are 2 versions of this paper
Information in Financial Markets: Who Gets It First?
Information in Financial Markets: Who Gets it First?
Date Written: February 10, 2022
Abstract
I compare the timing of information acquisition among institutional investors and sell-side analysts. I find that hedge funds are unique: they anticipate analyst reports, and then reverse their positions after analysts publish reports. These trends are strongest for hedge funds and analysts most closely geographically situated. I also find that hedge funds generate their highest risk-adjusted returns among stocks with high analyst coverage. These results indicate that hedge funds are faster relative to analysts and other investors, and suggest that analysts assist hedge funds in exploiting their information acquisition advantages.
Keywords: Hedge Funds, Information, Analysts, Mutual Funds
JEL Classification: G14, G12, G11, G24, G20, G10
Suggested Citation: Suggested Citation