Informed trading by hedge funds
利用每日股票交易数据构建对冲基金内幕交易指标，发现该指标高的股票未来表现更好，多空组合年化超额收益达4%，且收益不反转，表明该指标捕捉了信息优势。
Abstract Using daily equity transactions, we create a hedge fund informed trading measure (ITM) that separates concentrated information‐related trades from liquidity‐driven basket trades. We find that stocks with higher ITM are associated with higher future stock performance. The long–short portfolio delivers 4% annual alpha after controlling for size, value, momentum, and illiquidity factors. We attribute informed trading to hedge funds' ability to identify and correct stock underpricing. The results are robust to several ways of constructing and sorting the measure, and we do not find a return reversal in four quarters, indicating that the measure is information related.