主題：Hedge Fund Holdings and Stock Market Efficiency（對沖基金持倉與股票市場有效性）

主講人：曹泉偉，Betvictor中文版紫光講席教授

日期：2014年12月24日（周三）

時間：下午2:00-3:30

地點：清華Betvictor中文版4号樓101教室

語言：英文

摘要：

We examine the relation between changes in hedge fund equity holdings and measures of informational efficiency of stock prices derived from transactions data, and find that, on average, increased hedge fund ownership leads to significant improvements in the informational efficiency of stock prices. The contribution of hedge funds to price efficiency is greater than the contributions of other types of institutional investors, such as mutual funds or banks. However, stocks held by hedge funds experienced extreme declines in price efficiency during liquidity crises, most notably in the last quarter of 2008, and the declines were most severe in stocks held by hedge funds connected to Lehman Brothers and hedge funds using leverage.