FYI: Using a novel dataset on investment conferences from 2008 to 2013, I show that hedge funds take advantage of the publicity of these conferences and strategically release their book information to drive market demand. Specifically, I find that hedge funds pitch stocks in their portfolios that have performed well in the past and they want to take profit in. However, these stocks still perform better than non-pitched stocks in the portfolio afterwards due to demand from mutual funds and other investors. They earn a cumulative abnormal return of 20% over 18 months before the pitch, and continue to outperform the benchmark by 7% over 9 months afterwards. However, half the post-conference abnormal return reverts after another 9 months. Moreover, I discover that other hedge funds crowd into the same stocks at a similar pace, suggesting that they either run correlated strategies or share information. Mutual funds, on the other hand, exhibit opposite behaviors, suggesting they have different specialization in security selection from hedge funds. Finally, I show how to predict investment pitches and build profitable trading strategies.
Regards,
Ted
https://scholar.harvard.edu/files/patrickluo/files/investment_conferences-paris2018.pdf
