Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 30, 2022 erstellt
Description:
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 horizon. We also provide evidence that our results are not driven by a (false) presumption that hedge funds represent majority of the short-term institutional investors and/or hedge fund demand constitute lion’s share of the short-term institutional demand