Hedge Funds and Public Information Acquisition

52 Pages Posted: 16 Mar 2018 Last revised: 25 Apr 2019

See all articles by Alan D. Crane

Alan D. Crane

Rice University - Jesse H. Jones Graduate School of Business

Kevin Crotty

Rice University

Tarik Umar

Rice University

Date Written: April 23, 2019

Abstract

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

Crane, Alan D. and Crotty, Kevin and Umar, Tarik, Hedge Funds and Public Information Acquisition (April 23, 2019). Available at SSRN: https://ssrn.com/abstract=3127825 or http://dx.doi.org/10.2139/ssrn.3127825

Alan D. Crane

Rice University - Jesse H. Jones Graduate School of Business ( email )

6100 South Main Street
P.O. Box 1892
Houston, TX 77005-1892
United States

Kevin Crotty (Contact Author)

Rice University ( email )

6100 Main Street
Houston, TX 77005-1892
United States

Tarik Umar

Rice University ( email )

Houston, TX
United States

HOME PAGE: http://https://business.rice.edu/person/tarik-umar

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