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- W3164464664 abstract "We document that hedge funds nurture mispricing in the Chinese financial market. We exploit the relationship between hedge fund holdings and the degree of mispricing in case that hedge fund holdings of stocks are mainly for arbitrage purpose but not for hedging, and that with and without short-selling restrictions. Hedge funds intentionally hold overvalued stocks. Their trades, which generate an abnormal return to 1.78% per month, also impede the dissipation of stock mispricing. Further, we find trend chasing may be the reason why hedge funds prefer to hold overvalued stocks. This research sheds new lights on the information content and potential investment value of hedge funds holdings in emerging markets." @default.
- W3164464664 created "2021-06-07" @default.
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- W3164464664 date "2021-01-01" @default.
- W3164464664 modified "2023-10-18" @default.
- W3164464664 title "The Role of Hedge Funds in Asset Pricing: Evidence from China" @default.
- W3164464664 doi "https://doi.org/10.2139/ssrn.3767866" @default.
- W3164464664 hasPublicationYear "2021" @default.
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