The Information in Hedge Fund Option Holdings
研究揭示了对冲基金如何利用期权和卖空渠道交易负面信息，发现期权持仓中的看跌信息具有显著经济价值，且与卖空信息结合时预测能力最强，尤其在市场压力时期对资本受限的对冲基金更为重要。
We provide new insights on how hedge funds use options and short-selling channels to trade on their negative information. Bearish information in hedge fund option positions is economically large, distinct from information in short interest, and it is the combination of option positions and short interest that provides the strongest information signal. A portfolio of stocks with high short interest and bearish hedge fund option positions predicts negative abnormal returns that are more than four times as large as the portfolio with high short interest and bullish options positions. The information in hedge fund option positions increases during periods of market stress, whereas that in short interest does not. This increase is concentrated in capital-constrained hedge funds, suggesting that options provide a channel for capital-constrained hedge funds to exploit their information advantage. This paper was accepted by Lukas Schmid, finance. Funding: J. Hua received support for this project from a PSC-CUNY Award, jointly funded by The Professional Staff Congress and The City University of New York. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2023.4785 .