A unique view of hedge fund derivatives usage: Safeguard or speculation?

作者：Aragon George O^*; Martin J Spencer

来源：Journal of Financial Economics, 2012, 105(2): 436-456.

DOI：10.1016/j.jfineco.2012.02.004

• Hedge funds
• Options
• Derivatives
• Market efficiency

We study the common equity and equity option positions of hedge fund investment advisors over the 1999-2006 period. We find that hedge funds' stock positions predict future returns and that option positions predict both volatility and returns on the underlying stock. A quarterly tracking portfolio of stocks based on publicly observable hedge fund option holdings earns abnormal returns of 1.55% through the end of the quarter. Net of fees, hedge funds using options deliver higher benchmark-adjusted portfolio returns and lower risk than nonusers. The results suggest that hedge fund positions reflect significant timing and selectivity skill.

• 出版日期2012-8