Journal of Financial Economics, Volume 121, Issue 3, September 2016, Pages 521-545, ISSN 0304-405X ，September 2016

獲利于國會山：對沖基金經理的知情交易

作者：Meng Gao (University of Illinois at Urbana-Champaign)

Jiekun Huang (University of Illinois at Urbana-Champaign)

摘要：本文對對沖基金經理通過與政府說客之間的聯系在證券交易中獲得信息優勢這一假說進行了檢驗。利用1999年至2012年間對沖基金長期持有的股票數據和與說客聯系的數據，我們發現當對沖基金與說客保持聯系時，對沖基金比基準被動型基金的月收益率高56-93個基點。此外，當一項意在提升政府官員可信力和公衆力的法令（The Stop Trading on Congressional Knowledge (STOCK) Act）生效後，一些政治關聯度高的基金的業績顯著降低。本研究為政治信息在金融市場上的傳播以及由此對金融市場參與者帶來的價值提供了證據。

關鍵詞：對沖基金 說者 知情交易 業績 信息轉移

Capitalizing on Capitol Hill: Informed trading by hedge fund managers

Meng Gao (University of Illinois at Urbana-Champaign), Jiekun Huang (University of Illinois at Urbana-Champaign)

ABSTRACT

This paper examines the hypothesis that hedge fund managers gain an informational advantage in securities trading through their connections with lobbyists. Using data sets on the long-equity holdings and lobbyist connections of hedge funds from 1999 through 2012, we show that hedge funds outperform passive benchmarks by 56–93 basis points per month on their political holdings when they are connected to lobbyists. Furthermore, the political outperformance of connected funds decreased significantly after the Stop Trading on Congressional Knowledge (STOCK) Act became effective. Our study provides evidence on the transmission of political information in financial markets and on the value of such information to financial market participants.

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S0304405X16300800

翻譯：吳雨玲