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  • Brongniart Hedge Funds

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    The document summarizes a discussion that will take place between William Goetzmann and Emmanuel Boussard about the role of hedge funds in security price formation. The discussion will present direct evidence from a hand-collected data set of hedge fund ownership that shows hedge funds tend to hold undervalued stocks with high mispricing and risk. Changes in hedge fund holdings are informative of future stock returns over the next two quarters. Additionally, hedge fund ownership is significantly related to a reduction in a stock's undervaluation. Overall, the findings suggest hedge funds play a positive role in the price formation process by holding undervalued stocks and reducing mispricing in equity markets.

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    The document summarizes a discussion that will take place between William Goetzmann and Emmanuel Boussard about the role of hedge funds in security price formation. The discussion will present direct evidence from a hand-collected data set of hedge fund ownership that shows hedge funds tend to hold undervalued stocks with high mispricing and risk. Changes in hedge fund holdings are informative of future stock returns over the next two quarters. Additionally, hedge fund ownership is significantly related to a reduction in a stock's undervaluation. Overall, the findings suggest hedge funds play a positive role in the price formation process by holding undervalued stocks and reducing mispricing in equity markets.

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    Attribution Non-Commercial (BY-NC)
    Téléchargez comme PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    6 vues1 page

    Brongniart Hedge Funds

    Transféré par

    Anonymous RQQTvj
    The document summarizes a discussion that will take place between William Goetzmann and Emmanuel Boussard about the role of hedge funds in security price formation. The discussion will present direct evidence from a hand-collected data set of hedge fund ownership that shows hedge funds tend to hold undervalued stocks with high mispricing and risk. Changes in hedge fund holdings are informative of future stock returns over the next two quarters. Additionally, hedge fund ownership is significantly related to a reduction in a stock's undervaluation. Overall, the findings suggest hedge funds play a positive role in the price formation process by holding undervalued stocks and reducing mispricing in equity markets.

    Droits d'auteur :

    Attribution Non-Commercial (BY-NC)
    Téléchargez comme PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    sur 1

    Equipex D-FIH Donnes Financires Historiques

    The Role of Hedge Funds in Security Price Formation Process


    presented by William Goetzmann Director International Center for Finance at the Yale School of Management and Edwin J. Beinecke Professor of Finance and Management Studies, Yale School of Management

    discussion to be introduced by Emmanuel Boussard CIO, Boussard & Gavaudan October 21st, 2011, 09H00 11H00 Institut Louis Bachelier, Salle de sminaire Palais Brongniart 28 Place de la Bourse 75002 PARIS
    This discussion presents direct evidence on the role of hedge funds in the price formation process of security prices by using a hand -collect data of hedge fund ownership. Among undervalued stocks, hedge funds on average tend to hold stocks with larger mispricing and higher idiosyncratic risk in the cross-section. The change in hedge fund holdings is informative about future stock returns over the horizon of up to two quarters. Finally, hedge fund ownership is significantly relate d to a reduction in stocks under-valuation. Overall, these findings suggest that, in comparison to other types of institutions, hedge funds play a positive and unique role in stock price formation process in holding under-valued stocks and subsequently re ducing mispricing in the equity markets.

    limited seating, kindly RSVP to: cristina.herfort@institutlouisbachelier.org

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