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Information interruption and hedge fund performance: Evidence from lockdown

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  • Han, Han
  • Wang, Zhibin
  • Zhao, Xueqing

Abstract

This paper uses the COVID-19 outbreak as an exogenous shock to study the impact of information interruption on economic activities, particularly on hedge fund performance. Employing a difference-in-differences approach, we find that hedge funds preferring site visits experience a decline in performance and an increase in the failure risk during lockdowns. Additionally, we discover that physical interactions provide valuable soft information, irreplaceable by virtual communication. Our findings highlight the value of face-to-face interaction in information acquisition.

Suggested Citation

  • Han, Han & Wang, Zhibin & Zhao, Xueqing, 2024. "Information interruption and hedge fund performance: Evidence from lockdown," Economics Letters, Elsevier, vol. 238(C).
    • Handle: RePEc:eee:ecolet:v:238:y:2024:i:c:s0165176524001782
    DOI: 10.1016/j.econlet.2024.111695
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    References listed on IDEAS

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    1. Qiang Cheng & Fei Du & Brian Yutao Wang & Xin Wang, 2019. "Do Corporate Site Visits Impact Stock Prices?," Contemporary Accounting Research, John Wiley & Sons, vol. 36(1), pages 359-388, March.
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    4. Jennie Bai & Massimo Massa, 2021. "Is Human-Interaction-based Information Substitutable? Evidence from Lockdown," NBER Working Papers 29513, National Bureau of Economic Research, Inc.
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    6. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
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    More about this item

    Keywords

    Information interruption; Economic activities; Physical interactions; Soft information;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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