On the Other Side of Hedge Fund Equity Trades
研究发现，对冲基金在与低换手率、高度分散化的机构投资者（准指数基金）反向交易时，能获得正异常收益并避免负异常收益，这种模式由准指数基金偏好高市场贝塔股票及对冲基金识别盈利交易的能力驱动。
Hedge funds earn positive ex post abnormal returns and avoid negative abnormal returns on their equity portfolios when trading in the opposite direction of highly diversified low-turnover institutional investors (quasi indexers). This pattern seems to be driven by the preferences of quasi indexers for high-market-beta stocks together with the ability of hedge funds to identify subsets of especially profitable trades. It remains pronounced when accounting for other determinants of hedge fund trades, such as stock liquidity, market anomalies, and major corporate events. Trading against other institutional investors or noninstitutions does not result in abnormal performance for hedge funds. This paper was accepted by David Sraer, finance. Supplemental Material: Data and the online appendix are available at https://doi.org/10.1287/mnsc.2023.4877 .