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Hedge Funds and Public Information Acquisition

Author

Listed:
  • Alan Crane

    (Jones Graduate School of Business, Rice University, Houston, Texas 77005)

  • Kevin Crotty

    (Jones Graduate School of Business, Rice University, Houston, Texas 77005)

  • Tarik Umar

    (Jones Graduate School of Business, Rice University, Houston, Texas 77005)

Abstract

Hedge funds actively acquire publicly available financial disclosures. Funds acquiring such information subsequently earn 1.5% higher annualized abnormal returns than nonacquirers. Trades by the same fund in the same quarter are more profitable when accompanied by public information acquisition. Acquiring public filings is relatively less profitable when macrouncertainty is high. Funds employ a wide range of strategies for acquiring public filings. Those that systematically scrape large volumes of information, specialize in certain filing types, acquire filings with more content changes, or access information immediately outperform other funds.

Suggested Citation

  • Alan Crane & Kevin Crotty & Tarik Umar, 2023. "Hedge Funds and Public Information Acquisition," Management Science, INFORMS, vol. 69(6), pages 3241-3262, June.
    • Handle: RePEc:inm:ormnsc:v:69:y:2023:i:6:p:3241-3262
    DOI: 10.1287/mnsc.2022.4466
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    References listed on IDEAS

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