Hedge Fund Arbitrage of New Anomalies
March 30, 2023 - Investing Expertise, Mutual/Hedge Funds
Do hedge funds rapidly move to exploit, and thereby weaken/extinguish, newly discovered stock return anomalies? In the December 2022 version of their paper entitled “Anomaly Discovery and Arbitrage Trading”, Xi Dong, Qi Liu, Lei Lu, Bo Sun and Hongjun Yan measure the post-publication role of hedge funds on 99 published stock return anomalies (or latest… Keep Reading