March 2021

Classic Arbitrage below the Microscope: Evidence from Detailed Hedge Fund Transaction Data

Bastian von Beschwitz, Sandro Lunghi, Daniel Schmidt

Summary:

We exploit detailed transaction and position recordsdata for a sample of lengthy-short equity hedge funds to glance the buying and selling exercise of major investors. We uncover that hedge funds pronounce skill in opening positions, nonetheless that they terminate their positions too early, thereby forgoing about a third of the trades’ attainable profitability. We show conceal this habits sms lån på minuttet the boundaries of arbitrage: hedge funds terminate positions early in pronounce to reallocate their capital to extra winning investments and/or to accommodate tightened financial constraints. Per this see, we file that hedge funds leave extra money on the table after opening recent positions, detrimental returns, or increases in funding constraints and volatility.

Key phrases: Hedge funds, Imsms lån på minuttetiate selling, Profitability, Classic Buying and selling

DOI: https://doi.org/10.17016/FEDS.2021.022

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Last Update:
March 31, 2021

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