Do Hedge Funds Profit From Public Information?
56 Pages Posted: 16 Mar 2018 Last revised: 24 May 2018
Date Written: May 21, 2018
We examine whether hedge funds profit from public information. Unique data on hedge funds' use of publicly-available SEC filings show funds accessing filings subsequently exhibit 1.5% higher annualized abnormal returns than non-users. Above-median users earn even higher returns. Usage of filings is not merely a proxy for differences in fund ability. Fund returns are systematically related to the returns of stocks whose filings are viewed, suggesting funds act on acquired information. We conduct multiple analyses to explore why public information acquisition is profitable. Results are most consistent with funds using public information to complement private signals.
Keywords: Hedge Fund, Information Acquisition, EDGAR, Public Information, Performance, Disclosure
JEL Classification: G11, G14, G23
Suggested Citation: Suggested Citation