Market Efficiency and Hedge Fund Trading Strategies

This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option markets and the disagreement/agreement periods.< ...

Author(s) :

Marie Lambert

University of Liège, HEC Liège
Research Associate, EDHEC-Risk Institute

Nicolas Papageorgiou

Professor, HEC Montréal
Head of Research, HR Strategies

Federico Platania

University of Liège, HEC Liège

Presentation :

This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option markets and the disagreement/agreement periods.

Pdf
Market Efficiency and Hedge Fund Trading Strategies...
(3.32 MB)
Type : Working paper
Date : le 01/05/2019
Research Cluster : Finance

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