Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings*
研究发现，对冲基金在IPO股票上持有异常高的仓位能获得超额收益，且能在长期表现不佳前及时卖出，表明其拥有信息优势；这种优势部分来自与作为IPO承销商的主经纪商的关联。
Using hedge funds’ holdings of IPO stocks, we find that stocks with abnormally high hedge fund holdings, based on stock and deal characteristics, yield abnormal returns. Moreover, hedge funds are able to sell IPO stocks in a timely fashion before long-run underperforming periods start, suggesting that hedge funds possess information advantages in IPO stocks. Finally, we address the question of where hedge funds may have obtained their information advantages. Hedge funds earn higher abnormal returns in “connected” stocks when their prime brokers also serve as IPO underwriters, indicating that such connections enable hedge funds to make more informed investment decisions in IPO stocks. Received December 31, 2014; editorial decision May 27, 2017 by Editor Wayne Ferson.