Hedge Funds and Public Information Acquisition
52 Pages Posted: 16 Mar 2018 Last revised: 25 Apr 2019
Date Written: April 23, 2019
Theoretical predictions differ as to whether sophisticated investors should acquire public information, and if so, whether acquisition activity should relate positively or negatively to fund-level performance. We test these theories by identifying hedge funds' acquisition of filings from the SEC server. Acquisition activity varies substantially across funds and is positively related to fund-level performance. Funds accessing filings subsequently exhibit 1.5%-higher annualized abnormal returns than non-acquirors. Evidence supports the view that public information complements private signals. Acquisition predicts various firm-specific news events and their value-relevance, and the return-acquisition relation varies as a function of filing characteristics, such as age and size.
Keywords: Hedge Fund, Information Acquisition, EDGAR, Public Information, Performance
JEL Classification: G11, G14, G23
Suggested Citation: Suggested Citation