Hedge Funds and Public Information Acquisition

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

Crane, Alan D. and Crotty, Kevin and Umar, Tarik, Hedge Funds and Public Information Acquisition (September 17, 2021). Available at SSRN: https://ssrn.com/abstract=3127825 or http://dx.doi.org/10.2139/ssrn.3127825