Anticipatory Trading Against Distressed Mega Hedge Funds
研究发现，市场会提前交易那些被陷入困境的大型对冲基金预计将抛售的股票，导致这些股票出现机构卖出和做空增加，但非困境基金或小型困境基金持有的股票则没有这种现象。
Abstract Stocks expected to be sold by distressed mega hedge funds (MHFs) face anticipatory institutional selling and increased short interest. However, no evidence of anticipatory trading is found in stocks held by nondistressed MHFs, distressed non-MHFs, or stocks confidentially held by distressed MHFs, suggesting that public portfolio disclosure by large and closely followed distressed investors, and not common investment signals, drives anticipatory trading. Distressed MHFs with greater exposure to such anticipatory trading suffer 2.21% lower style-adjusted returns. Stocks subject to anticipatory trading experience negative abnormal returns followed by reversals, indicating the price destabilizing effect of anticipatory trading.