Information in Financial Markets: Who Gets It First?

44 Pages Posted: 17 May 2014 Last revised: 18 Dec 2017

See all articles by Nathan Swem

Nathan Swem

Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Date Written: December 17, 2017

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 trades 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

Swem, Nathan, Information in Financial Markets: Who Gets It First? (December 17, 2017). Available at SSRN: https://ssrn.com/abstract=2437733 or http://dx.doi.org/10.2139/ssrn.2437733

Nathan Swem (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

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