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- W2895034305 abstract "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." @default.
- W2895034305 created "2018-10-12" @default.
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- W2895034305 date "2018-01-01" @default.
- W2895034305 modified "2023-09-26" @default.
- W2895034305 title "An Information Factor: Can Informed Traders Make Abnormal Profits?" @default.
- W2895034305 doi "https://doi.org/10.2139/ssrn.3205660" @default.
- W2895034305 hasPublicationYear "2018" @default.
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