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Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data
Review of Asset Pricing Studies ( IF 13.1 ) Pub Date : 2021-05-08 , DOI: 10.1093/rapstu/raab013 Bastian von Beschwitz 1 , Sandro Lunghi 2 , Daniel Schmidt 3
中文翻译:
显微镜下的基本套利:来自详细对冲基金交易数据的证据
更新日期:2021-05-08
Review of Asset Pricing Studies ( IF 13.1 ) Pub Date : 2021-05-08 , DOI: 10.1093/rapstu/raab013 Bastian von Beschwitz 1 , Sandro Lunghi 2 , Daniel Schmidt 3
Affiliation
Abstract
We exploit detailed transaction and position data for a sample of long-short equity hedge funds to study the trading activity of fundamental investors. We find that hedge funds exhibit skill in opening positions, but that they close their positions too early, thereby forgoing about one-third of the trades’ potential profitability. We explain this behavior with the limits of arbitrage: hedge funds close positions early in order to reallocate their capital to more profitable investments and/or to accommodate tightened financial constraints. Consistent with this view, we document that hedge funds leave more money on the table after opening new positions, negative returns, or increases in funding constraints and volatility. (JEL G11, G12, G14, G15)
中文翻译:
显微镜下的基本套利:来自详细对冲基金交易数据的证据
摘要
我们利用多空股票对冲基金样本的详细交易和头寸数据来研究基本投资者的交易活动。我们发现对冲基金在开仓方面表现出技巧,但他们过早平仓,从而放弃了大约三分之一的交易潜在盈利能力。我们用套利的限制来解释这种行为:对冲基金提前平仓,以便将其资本重新分配到更有利可图的投资和/或适应收紧的财务约束。与此观点一致,我们记录了对冲基金在开设新头寸、负回报或资金限制和波动性增加后留下更多资金。(杰尔G11、G12、G14、G15)