The Information in Industry-Neutral Self-Financed Trades
研究发现，共同基金通过在同一行业内进行等额美元的多空配对交易（INSFIT）来获取信息优势，这类交易贡献了约37%的短期交易利润，且交易规模在新闻发布前增大。
Abstract We identify Industry-Neutral Self-Financed Informed Trading (INSFIT) as stock trades financed by offsetting, equivalent dollar-denominated stock trades in the same industry. Approximately 37% of short-term mutual fund trading profits can be attributed to these trade pairs. Consistent with informed trading, INSFIT precedes unusually high media coverage for the underlying stocks. The trades underlying INSFIT are also larger as the release of stock-level news becomes more imminent. Both relative valuation and the hedging of industry exposure motivate INSFIT’s industry neutrality. While INSFIT positively impacts fund performance, active fund managers who execute INSFIT more aggressively obtain smaller trading profits per execution.