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T his paper formally analyzes the biases related to self-reporting in hedge fund databases by matching the quarterly equity holdings of a complete list of 13F-filing hedge fund companies to the union of five major commercial databases of self-reporting hedge funds between 1980 and 2008. We find that funds initiate self-reporting after positive abnormal(More)
We study hedge fund trading in the stock market during the financial crisis of 2007-2008 and the surrounding years. We find that in the two quarters around the Lehman collapse (2008Q3-Q4) hedge funds reduced their equity holdings by about 29%, with nearly every fourth hedge fund cutting more than 40% of its equity portfolio in each quarter. We identify two(More)
Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The evidence suggests that when Schedule 13D filers trade aggressively, both high-frequency and low-frequency(More)
Passive institutional investors are an increasingly important component of U.S. stock ownership, and their influence on firm-level governance is widely debated. To examine whether and by which mechanisms passive investors influence firms' governance structures, we use an instrumental variable estimation and exploit variation in passive institutional(More)
We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochastic. If noise trading volatility is mean-reverting, then the equilibrium price follows a 'bridge' process with(More)
  • ADAIR MORSE, Daniel Bergstresser, +8 authors Ana Paula Testolini
  • 2013
I investigate whether large, active investors exert influence over the portfolio decisions made by private equity (PE) fund managers to the detriment, or benefit, of smaller investors in the pool. Using a sample of 234 PE funds in which sovereign funds have invested, I document that 3.7 percent of portfolio companies have prior linkages to these active(More)
This paper studies the holdings by institutional investors that are filed with a significant delay through amendments to Form 13F and that are not included in the standard 13F holdings databases (the " confidential holdings "). We find that asset management firms (hedge funds and investment companies/advisors) in general, and institutions that actively(More)
When a proxy contest is looming, the rate at which CEOs exercise options in order to sell (hold) the resulting shares slows down by 80% (accelerates by 60%), consistent with their desire to maintain or strengthen voting rights when facing control challenges. Such deviations are closely aligned with features unique to proxy contests such as the record dates(More)