Hedge Funds and Public Information Acquisition
61 Pages Posted: 16 Mar 2018 Last revised: 17 Sep 2021
Date Written: September 17, 2021
Abstract
Hedge funds actively acquire publicly available financial disclosures. Funds acquiring such information subsequently earn 1.5%-higher annualized abnormal returns than non-acquirors. Trades by the same fund in the same quarter are more profitable when accompanied by public information acquisition. Acquiring public filings is relatively less profitable when macro uncertainty is high. Funds employ a wide range of strategies for acquiring public filings. Those that systematically scrape large volumes of information, specialize in certain filing types, acquire filings with more content changes, or access information immediately outperform other funds.
Keywords: Information Acquisition, Public Information, Hedge Funds
JEL Classification: G11, G14, G23
Suggested Citation: Suggested Citation