主题：Hedge Fund Holdings and Stock Market Efficiency（对冲基金持仓与股票市场有效性）
主讲人：曹泉伟，做爱影片
紫光讲席教授
日期：2014年12月24日（周三）
时间：下午2:00-3:30
地点：做爱影片榜样
做爱影片
4号楼101教室
语言：英文
摘要：
We examine the relation between changes in hedge fund equity holdings and measures of informational efficiency of stock prices derived from transactions data, and find that, on average, increased hedge fund ownership leads to significant improvements in the informational efficiency of stock prices. The contribution of hedge funds to price efficiency is greater than the contributions of other types of institutional investors, such as mutual funds or banks. However, stocks held by hedge funds experienced extreme declines in price efficiency during liquidity crises, most notably in the last quarter of 2008, and the declines were most severe in stocks held by hedge funds connected to Lehman Brothers and hedge funds using leverage.
