Ma, Matthew
[Verfasser:in]
;
Martin, Xiumin
[Sonstige Person, Familie und Körperschaft];
Ringgenberg, Matthew C.
[Sonstige Person, Familie und Körperschaft];
Zhou, Guofu
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 22, 2019 erstellt
Beschreibung:
We construct an information factor (INFO) using the informed stock buying of corporate insiders and the informed selling of short sellers and option traders. INFO strongly predicts future stock returns -- a long-short portfolio formed on INFO earns monthly alphas of 1.24%, substantially outperforming existing strategies including momentum. INFO explains hedge fund returns in the time-series and cross-section. Higher values of INFO are associated with increases in aggregate hedge fund value. Moreover, funds with higher covariation between their returns and INFO outperform by 0.28% per month. The results show information processing skill is an important source of return variation