Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data
利用多空股票对冲基金的详细交易数据，发现基金经理开仓时表现出技巧，但平仓过早，放弃了约三分之一的潜在利润，原因在于套利限制和资本再分配。
Abstract We exploit detailed transaction and position data for a sample of long-short equity hedge funds to study the trading activity of fundamental investors. We find that hedge funds exhibit skill in opening positions, but that they close their positions too early, thereby forgoing about one-third of the trades’ potential profitability. We explain this behavior with the limits of arbitrage: hedge funds close positions early in order to reallocate their capital to more profitable investments and/or to accommodate tightened financial constraints. Consistent with this view, we document that hedge funds leave more money on the table after opening new positions, negative returns, or increases in funding constraints and volatility.