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Hedge funds that have over $100 million or more invested in Section 13(f) securities are required to report such quarterly holdings on Form 13F to
Hedge funds that have over $100 million or more invested in Section 13(f) securities are required to report such quarterly holdings on Form 13F to the SEC within 45 days of each quarter end. The SEC provides a quarterly list of Section 13(f) securities, which include most publicly traded stocks. Therefore, on the 45th day after a quarter ends, the investor public usually receive a valuable data dump. After a careful study of a fow prominent hedge funds, you discover that a sharp incrense or decrease of holdings by these hedge funds shown in the data release leads to further price increases or decreases Describe how you would use an event study to find out whether there is an opportunity to earn abnormal returns by trading on the hedge fund data. If you use data to back-test the idea and find abnormal return, what form of the market efficiency is violated? Hedge funds that have over $100 million or more invested in Section 13(f) securities are required to report such quarterly holdings on Form 13F to the SEC within 45 days of each quarter end. The SEC provides a quarterly list of Section 13(f) securities, which include most publicly traded stocks. Therefore, on the 45th day after a quarter ends, the investor public usually receive a valuable data dump. After a careful study of a fow prominent hedge funds, you discover that a sharp incrense or decrease of holdings by these hedge funds shown in the data release leads to further price increases or decreases Describe how you would use an event study to find out whether there is an opportunity to earn abnormal returns by trading on the hedge fund data. If you use data to back-test the idea and find abnormal return, what form of the market efficiency is violated
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