Information in Financial Markets: Who Gets it First?

52 Pages Posted: 24 Mar 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: 2017-02

Abstract

I compare the timing of information acquisition among institutional investors and sell-side analysts, and I show that hedge fund trades predict the direction of subsequent analyst ratings change reports while other investors' trades do not. In addition, hedge funds reverse trades after analyst reports, while other investors follow the analysts. Finally, I show that hedge funds perform best among stocks with high analyst coverage. These results suggest that hedge funds have superior information acquisition skills, and that analysts assist hedge funds in exploiting information acquisition advantages. These dynamics illustrate how hedge funds play an important role in information generation.

Keywords: Analysts, Hedge Funds, Information, Mutual Funds

JEL Classification: G10, G11, G12, G14, G20, G24

Suggested Citation

Swem, Nathan, Information in Financial Markets: Who Gets it First? (2017-02). FEDS Working Paper No. 2017-023. Available at SSRN: https://ssrn.com/abstract=2939519 or http://dx.doi.org/10.17016/FEDS.2017.023

Nathan Swem (Contact Author)

Board of Governors of the Federal Reserve System ( email )

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

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
775
Abstract Views
3,946
rank
8,668
PlumX Metrics