Are All Short-Term Institutional Investors Informed?
研究发现，短期机构需求与未来股票收益的正相关关系仅存在于对冲基金，而非其他短期机构投资者，表明并非所有短期机构投资者都拥有信息优势。
We examine whether being a hedge fund has any differential effect on the previously documented empirical relation between investment horizon and informativeness of institutional investors’ trades. We find that the positive and significant relation between short-term institutional demand and future stock returns exists only among hedge funds, while such relation does not exist for non–hedge fund institutions with short investment horizons. We also provide evidence that our results are not driven by (false) presumptions that hedge funds represent the majority of short-term institutional investors or that hedge fund demand constitute the lion’s share of the short-term institutional demand.