Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Regulation
研究对冲基金交易策略的模糊性如何影响资产价格和社会福利，并分析监管政策（如披露要求或运营成本）通过影响不透明交易对市场产生的作用。
We investigate the effect of ambiguity about hedge fund investment strategies on asset prices and aggregate welfare. We model some traders (mutual funds) as facing ambiguity about the equilibrium trading strategies of other traders (hedge funds). This ambiguity limits the ability of mutual funds to infer information from prices and has negative effects on market outcomes. We use this analysis to investigate the implications of regulations that affect disclosure requirements of hedge funds or the cost of operating a hedge fund. Our analysis demonstrates how regulations affect asset prices and welfare through their influence on opaque trading.