德勤－复旦会计论坛系列讲座之七十一
时间：2014年12月9日（周二）下午13：30
地点：史带楼504室
主持人: 张新 博士
演讲嘉宾：Jin-mo Kim ( Rutgers University )
Title：Is Hedge Fund Cloning Profitable? Evidence from the Copycat Trading of Hedge Fund Holdings
Abstract：Using pooled data on mutual funds’ high-frequency transactions and hedge funds’ mandatory disclosures of stock holdings during 2000-2011, we show that mutual funds that have stronger incentives to exploit the information released from hedge funds’ disclosures earn significant abnormal returns from their copycat trades. The abnormal returns are particularly higher when mutual funds follow hedge funds with low portfolio turnover. Finally, we find that on the disclosure date, mutual funds substantially increase their purchases of hedge fund holdings, particularly those disclosed by low portfolio turnover hedge funds, suggesting that they engage in copycat trading strategies.
会计学系
2014-12-3
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