Hedge Funds and Public Information Acquisition

61 Pages Posted: 16 Mar 2018 Last revised: 17 Sep 2021

See all articles by Alan D. Crane

Alan D. Crane

Rice University - Jesse H. Jones Graduate School of Business

Kevin Crotty

Rice University - Jesse H. Jones Graduate School of Business

Tarik Umar

Rice University

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

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

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 - Jesse H. Jones Graduate School of Business ( 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

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
2,398
Abstract Views
13,576
rank
8,308
PlumX Metrics