Informed Trading of Mutual Funds: Evidence from Fund‐Underwriter Relationships
研究投资银行与其关联基金的关系是否因信息优势带来超额收益，或因利益冲突造成损失。利用集体诉讼公司数据，发现关联基金在不当行为披露前减持承销客户股票，且其卖出活动能预测诉讼结果。
Abstract This paper investigates whether the relationship between investment banks and their affiliated funds helps the funds deliver superior performance due to the information advantage or whether it costs the funds due to the conflict of interest. Using firms with class‐action lawsuits, I examine whether underwriter‐affiliated funds can avoid a potential economic loss from the underwriting clients’ fraudulent activities. Consistent with the information advantage hypothesis, I find that affiliated funds reduce their stakes in underwritten firms before the disclosure of the firms’ misconduct. Additionally, I find that significant selling activity by the affiliated funds can predict the outcome of a potential lawsuit.