7. RESULTADOS
7.3 Tercer bucle de investigación: Planeación y diseño
7.3.2 Diseño de la unidad didáctica “Aprendamos sobre la cannabis y sus efectos”
In this paper, we use hand-collected data on hedge fund holdings that covers all major hedge fund management companies from 1981 to 2012 to understand the role of hedge funds in the stock price formation process. Our empirical results show that, in the cross-section of stocks, positive deviations from the security market plane based on the Fama-French-Carhart four-factor model are positively related to hedge fund ownership (both level and change), but unrelated to non-hedge fund ownership in the future. This result suggests that hedge funds pursue arbitrage opportunities in the U.S. equity markets by investing in undervalued stocks, and their holdings and trades help eliminate stock misvaluation. Thus, as a group of institutional investors, hedge funds enforce market efficiency, and they play a more active role than other types of institutional investors in restoring the equilibrium prices of securities.
Khandani and Lo (2011) show that the “quant meltdown” of August 2007 was consistent with hedge funds taking long-short positions above and below the security market plane. Our analysis suggests that this hedge fund strategy was not confined to that event, but has been common over an extended period. In fact, neo-classical asset pricing models predict exactly such behavior. In an economy in which there are a few widespread factors, but sufficient frictions to cause deviations from the pricing plane, some set of agents with a comparative informational or operational advantage will exploit the deviation by buying underpriced securities. Our results suggest that hedge funds play that role in the U.S. equity markets.
We also examine a more general question of whether hedge fund ownership predicts stock returns and find that a significantly positive relation between hedge fund ownership and future stock returns among underpriced stocks. In particular, a portfolio of positive-alpha stocks with
34
high hedge fund ownership generates an out-of-sample return of 5.8% per year on a risk-adjusted basis, significantly higher than the low hedge fund ownership counterpart. While extant studies (e.g., Griffin and Xu, 2009) find limited evidence about the information content of hedge fund ownership for the entire universe of stocks, we show that it is important to identify a setting in which the action taken by hedge funds is not ambiguous. Using the sample of underpriced stocks as a laboratory, we find strong evidence to support the hypothesis that hedge fund holdings and trades are informative about future stock returns.
In summary, the stock holdings data from government filings allow us examine the role of a major class of institutional investors whose broad intent is to generate positive risk-adjusted returns. For hedge funds trading U.S. equities, this implies a positive alpha with respect to standard asset pricing models. Hedge funds appear to pursue a strategy of buying positive-alpha stocks as measured by the standard multi-factor models, and their holdings and trades in these stocks predict future price adjustments towards the security market plane.
35
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Table 1 Summary Statistics of Stock Characteristics
This table provides summary statistics of characteristics for all stocks reported in 13F filings (Panel A) and for stocks belonging to the top decile of hedge fund ownership (Panel B) in each quarter. The reported statistics include book-to-market ratio, market capitalization (in $ billion), dividend yield per quarter (in %), firm age (in months), share price (in $), and a dummy variable indicating S&P 500 index membership. The full sample is based on merged CRSP, COMPUSTAT and 13F institutional holdings data over the period from 1981 to 2012.
Mean Std. Dev. 25% Median 75%
Panel A: All Stocks in the Full Sample
Book/Market 0.67 0.43 0.35 0.58 0.89
Market cap ($bil) 2.34 12.04 0.08 0.26 1.03
Dividend yield (%) 0.36 0.51 0.00 0.00 0.60
Age (month) 194.54 185.86 60.00 141.00 262.00
Price ($) 23.79 24.07 10.69 18.25 30.00
S&P500 dummy 0.13 0.33 0.00 0.00 0.00
Panel B: Stocks Belonging to the Top Decile of Hedge Fund Ownership
Book/Market 0.65 0.43 0.32 0.55 0.87
Market cap ($bil) 0.87 1.88 0.13 0.32 0.87
Dividend yield (%) 0.21 0.43 0.00 0.00 0.22
Age (month) 156.81 165.85 43.00 102.00 208.00
Price ($) 22.37 21.82 10.50 17.38 28.25
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Table 2 Hedge Fund (Non-Hedge-Fund) Ownership and Stock Mispricing: Full Sample Result This table reports the results from the Fama-MacBeth cross-sectional regressions of hedge fund ownership and non-hedge-fund ownership in quarter t on two dummy variables: D(Positive alpha)t-1 is a dummy variable indicating whether a stock has a significantly positive alpha at the one-sided 5% level from the Fama-French-Carhart model in quarter t-1, and D(Negative alpha)t-1 is a dummy variable indicating whether a stock has a significantly negative alpha in quarter t-1. In quarter t, alphat-1 is the intercept from the Fama-French-Carhart four-factor model and is estimated by using each stock’s daily returns in quarter t-1. The control variables are lagged stock characteristics including book-to-market ratio, market capitalization, dividend yield, firm age, share price, and a dummy variable indicating S&P 500 index membership. All the variables (except dummy variables) are standardized each quarter. t-statistics calculated using Newey-West standard errors are in parentheses. The full sample is based on merged CRSP, COMPUSTAT and 13F institutional holdings data over the period from 1981 to 2012. ***, **, * denote statistically significance at 1%, 5%, and 10% levels, respectively.
(1) (2) (1) – (2)
HF_ownershipt Non_HF_ownershipt p-value of difference
D(positive alpha)t-1 0.062*** -0.003 (5.07) (-0.19) 0.00 D(negative alpha)t-1 0.009 -0.038*** (0.62) (-3.04) 0.00 Ln(Book/Market)t-1 0.037*** 0.092*** (10.43) (11.98) 0.00 Ln(Market Cap)t-1 0.176*** 0.586*** (14.58) (33.88) 0.00 Ln(Dividend yield)t-1 -0.164*** -0.215*** (-17.33) (-19.75) 0.00 Ln(Age)t-1 -0.068*** 0.084*** (-10.17) (12.93) 0.00 Ln(Price)t-1 -0.054*** 0.121*** (-4.76) (10.80) 0.00 S&P500 dummyt-1 -0.264*** -0.223*** (-11.26) (-4.14) 0.08 Constant 0.035*** 0.034*** (10.92) (4.00) Adj. R-squared 0.063 0.422
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Table 3 Regressions of Hedge Fund (Non-Hedge-Fund) Ownership on Lagged Alpha for Positive-Alpha Stocks
This table reports the results from the Fama-MacBeth cross-sectional regressions of hedge fund ownership and non-hedge-fund ownership on one-quarter lagged stock alpha. The control variables are lagged stock characteristics including book-to-market ratio, market capitalization, dividend yield, firm age, share price, and a dummy variable indicating S&P 500 index membership. In quarter t, alphat-1 is the intercept from the Fama-French-Carhart four-factor model and is estimated by using each stock’s daily returns in quarter t-1. For a stock to be included in the analysis in quarter t, we require its t-statistic associated with the lagged alpha greater than 1.65 in quarter t-1 (i.e., the stock has a positive alpha in quarter t-1 as judged by the Fama-French-Carhart four-factor model). All the variables (except dummy variables) are standardized each quarter based on the full sample. t-statistics calculated using Newey-West standard errors are in parentheses. The sample period is from 1981 to 2012. ***, **, * denote statistically significance at 1%, 5%, and 10% levels, respectively.
(1) (2) (1) – (2)
HF_ownershipt Non_HF_ownershipt p-value of difference
Alphat-1 0.089*** -0.015 (5.55) (-1.15) 0.00 Ln(Book/Market)t-1 0.048*** 0.091*** (4.55) (7.52) 0.01 Ln(Market Cap)t-1 0.195*** 0.544*** (11.16) (26.04) 0.00 Ln(Dividend yield)t-1 -0.140*** -0.192*** (-10.55) (-14.11) 0.00 Ln(Age)t-1 -0.067*** 0.052*** (-4.64) (4.83) 0.00 Ln(Price)t-1 -0.055*** 0.103*** (-3.71) (6.22) 0.00 S&P500 dummyt-1 -0.254*** -0.187*** (-5.38) (-3.92) 0.08 Constant -0.064** 0.084*** (-2.27) (3.13) Adj. R-squared 0.140 0.395
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Table 4 Regressions of Hedge Fund (Non-Hedge-Fund) Ownership on Lagged Idiosyncratic Volatility for Positive-Alpha Stocks
This table presents the results from the Fama-MacBeth cross-sectional regressions of hedge fund ownership and non-hedge-fund ownership on one-quarter lagged idiosyncratic risk. The control variables are lagged stock characteristics including book-to-market ratio, market capitalization, dividend yield, firm age, share price, and a dummy variable indicating S&P 500 index membership. In quarter t, idio. volt-1 is the Fama- French-Carhart based idiosyncratic return standard deviation and is estimated by using each stock’s daily returns in quarter t-1. For a stock to be included in the analysis in quarter t, we require its t-statistic associated with the lagged alpha greater than 1.65 in quarter t-1 (i.e., the stock has a positive alpha in quarter t-1 as judged by the Fama-French-Carhart four-factor model). All the variables (except dummy variables) are standardized each quarter based on the full sample. t-statistics calculated using Newey-West standard errors are in parentheses. The sample period is from 1981 to 2009. ***, **, * denote statistically significance at 1%, 5%, and 10% levels, respectively.
(1) (2) (1) – (2)
HF_ownershipt Non_HF_ownershipt p-value of difference
Idio. volt-1 0.117*** -0.001 (5.30) (-0.02) 0.00 Ln(Book/Market)t-1 0.050*** 0.094*** (4.69) (7.84) 0.00 Ln(Market Cap)t-1 0.196*** 0.545*** (11.29) (26.37) 0.00 Ln(Dividend yield)t-1 -0.137*** -0.191*** (-9.82) (-13.92) 0.00 Ln(Age)t-1 -0.065*** 0.052*** (-4.56) (5.05) 0.00 Ln(Price)t-1 -0.047*** 0.108*** (-2.77) (6.23) 0.00 S&P500 dummyt-1 -0.253*** -0.187*** (-5.38) (-3.98) 0.18 Constant 0.126*** 0.061*** (7.21) (3.31) Adj. R-squared 0.142 0.396
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Table 5 Regressions of Changes in Hedge Fund (Non-Hedge-Fund) Ownership on Lagged Alpha for Positive-Alpha Stocks
This table reports the results from the Fama-MacBeth cross-sectional regressions of the change in stock’s hedge fund ownership (ΔHF_ownership) and non-hedge-fund ownership (ΔNon_HF_ownership) on one- quarter lagged alpha. The control variables are lagged stock characteristics including book-to-market ratio, market capitalization, dividend yield, firm age, share price, and a dummy variable indicating S&P 500 index membership. In quarter t, alphat-1 is the intercept from the Fama-French-Carhart four-factor model and is estimated by using each stock’s daily returns in quarter t-1. For a stock to be included in the analysis in quarter t, we require its t-statistic associated with the lagged alpha greater than 1.65 in quarter t-1 (i.e., the stock has a positive alpha in quarter t-1 as judged by the Fama-French-Carhart four-factor model. All the variables (except dummy variables) are standardized each quarter based on the full sample. t-statistics calculated using Newey-West standard errors are in parentheses. The sample period is from 1981 to 2012. ***, **, * denote statistically significance at 1%, 5%, and 10% levels, respectively.
(1) (2) (1) – (2)
ΔHF_ownershipt ΔNon_HF_ownershipt p-value of difference
Alphat-1 0.047** 0.014 (2.52) (0.79) 0.08 Ln(Book/Market)t-1 0.002 -0.031* (0.18) (-1.79) 0.08 Ln(Market Cap)t-1 0.009 -0.015 (0.50) (-0.70) 0.32 Ln(Dividend yield)t-1 0.004 -0.008 (0.36) (-0.75) 0.46 Ln(Age)t-1 0.009 -0.104*** (0.84) (-6.70) 0.00 Ln(Price)t-1 -0.011 -0.093*** (-0.66) (-4.71) 0.00 S&P500 dummyt-1 -0.010 0.019 (-0.25) (0.40) 0.60 Constant -0.068* 0.090*** (-1.91) (2.70) Adj. R-squared 0.069 0.106
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Table 6 Regressions of Changes in Hedge Fund (Non-Hedge-Fund) Ownership on Lagged Idiosyncratic Volatility for Positive-Alpha Stocks
This table provides the results from the Fama-MacBeth cross-sectional regressions of the change in stock’s hedge fund ownership (ΔHF_ownership) and non-hedge-fund ownership (ΔNon_HF_ownership) on one- quarter lagged idiosyncratic volatility. The control variables are lagged stock characteristics including book-to-market ratio, market capitalization, dividend yield, firm age, share price, and a dummy variable indicating S&P 500 index membership. In quarter t, idio. volt-1 is the Fama-French-Carhart based idiosyncratic return standard deviation and is estimated by using each stock’s daily returns in quarter t-1. For a stock to be included in the analysis in quarter t, we require its t-statistic associated with the lagged alpha greater than 1.65 in quarter t-1 (i.e., the stock is has a positive alpha in quarter t-1 as judged by the Fama-French-Carhart four-factor model). All the variables (except dummy variables) are standardized each quarter based on the full sample. t-statistics calculated using Newey-West standard errors are in parentheses. The sample period is from 1981 to 2012. ***, **, * denote statistically significance at 1%, 5%, and 10% levels, respectively.
(1) (2) (1) – (2)
ΔHF_ownershipt ΔNon_HF_ownershipt p-value of difference
Idio. volt-1 0.058** 0.002 (2.30) (0.10) 0.03 Ln(Book/Market)t-1 0.002 -0.034** (0.17) (-2.04) 0.06 Ln(Market Cap)t-1 0.008 -0.016 (0.43) (-0.74) 0.33 Ln(Dividend yield)t-1 0.006 -0.014 (0.44) (-1.23) 0.27 Ln(Age)t-1 0.010 -0.103*** (0.93) (-6.56) 0.00 Ln(Price)t-1 -0.007 -0.100*** (-0.40) (-4.78) 0.00 S&P500 dummyt-1 -0.015 0.018 (-0.36) (0.37) 0.56 Constant 0.029* 0.118*** (1.87) (6.40) Adj. R-squared 0.071 0.105
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Table 7 Regression Results from Using Alpha and Idiosyncratic Volatility Estimated by the GLS Method
This table reports the results from the Fama-MacBeth cross-sectional regressions of (the change in) hedge fund ownership and non-hedge-fund ownership on one-quarter lagged alpha as well as idiosyncratic risk estimated by the generalized-least-square (GLS) method. The control variables are one-quarter lagged stock characteristics including book-to-market ratio, market capitalization, dividend yield, firm age, share price, and a dummy variable indicating S&P 500 index membership. In quarter t, alphat-1 is the intercept from the Fama-French-Carhart four-factor model and is estimated by using each stock’s daily returns in quarter t-1, and idio. volt-1 is the idiosyncratic return standard deviation estimated by using each stock’s daily returns. For a stock to be included in the analysis in quarter t, we require its t-statistic associated with the lagged alpha greater than 1.65 in quarter t (i.e., the stock has a positive alpha in quarter t as judged by the Fama-French-Carhart four-factor model). All the variables except dummy variables are standardized each quarter based on the full sample. t-statistics calculated using Newey-West standard errors are in parentheses. The sample period is from 1981 to 2012. ***, **, * denote statistically significance at 1%, 5%, and 10% levels, respectively.
45 Table 7, continued.
(1) (2) (3) (4) (5) (6) (7) (8)
HFt Non_HFt HFt Non_HFt ΔHFt ΔNon_HFt ΔHFt ΔNon_HFt
Alphat-1 0.089*** -0.022 0.048*** 0.011 (5.76) (-1.63) (2.62) (0.61) Idio. volt-1 0.119*** -0.006 0.056** -0.005 (5.76) (-0.42) (2.17) (-0.26) Ln(Book/Market)t-1 0.042*** 0.096*** 0.045*** 0.100*** -0.001 -0.026 -0.002 -0.030* (3.50) (8.06) (3.65) (8.37) (-0.11) (-1.51) (-0.20) (-1.75) Ln(Market Cap)t-1 0.196*** 0.532*** 0.195*** 0.533*** 0.012 -0.015 0.007 -0.017 (10.89) (25.32) (10.68) (25.59) (0.61) (-0.63) (0.36) (-0.72) Ln(Dividend yield)t-1 -0.137*** -0.190*** -0.134*** -0.188*** 0.008 -0.015 0.010 -0.020* (-9.12) (-14.03) (-8.66) (-13.60) (0.56) (-1.36) (0.71) (-1.72) Ln(Age)t-1 -0.070*** 0.045*** -0.069*** 0.045*** 0.004 -0.111*** 0.004 -0.111*** (-4.54) (3.57) (-4.51) (3.62) (0.32) (-7.44) (0.29) (-7.40) Ln(Price)t-1 -0.057*** 0.102*** -0.048*** 0.106*** -0.020 -0.089*** -0.017 -0.096*** (-3.72) (6.15) (-2.63) (6.24) (-1.09) (-4.90) (-0.81) (-5.08) S&P500 dummyt-1 -0.247*** -0.165*** -0.245*** -0.165*** 0.000 0.035 0.000 0.035 (-4.86) (-3.30) (-4.85) (-3.34) (0.00) (0.74) (0.00) (0.74) Constant -0.068** 0.107*** 0.121*** 0.069*** -0.074** 0.102*** 0.024 0.123*** (-2.46) (3.83) (6.87) (3.86) (-2.08) (2.88) (1.42) (6.82) Adj. R-squared 0.152 0.394 0.154 0.395 0.078 0.114 0.080 0.114
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Table 8 Regression Results on the Contemporaneous Relations
This table reports the results from the Fama-MacBeth cross-sectional regressions of hedge fund ownership and non-hedge-fund ownership on contemporaneous stock alpha as well as idiosyncratic risk. In Panel A, the dependent variable is the level of hedge fund ownership, while in Panel B, the dependent variable is change in hedge fund ownership. The control variables are one-quarter lagged stock characteristics including book-to-market ratio, market capitalization, dividend yield, firm age, share price, and a dummy variable indicating S&P 500 index membership. Alphat is the intercept from the Fama-French-Carhart four-factor model and is estimated by using each stock’s daily returns in quarter t. In quarter t, idiosyncratic volatility is the idiosyncratic return standard deviation, estimated by using each stock’s daily returns in quarter t. For a stock to be included in the analysis in quarter t, we require its t-statistic associated with alpha greater than 1.65 in quarter t (i.e., the stock has a positive alpha in quarter t as judged by the Fama-French-Carhart four- factor model). All the variables except dummy variables are standardized each quarter based on the full sample. t-statistics calculated using Newey-West standard errors are in parentheses. The sample period is from 1981 to 2012. ***, **, * denote statistically significance at 1%, 5%, and 10% levels, respectively.