Using a new dataset of hedge fund returns from separate accounts on the Lyxor platform, we examine the costs and advantages of the greater liquidity of the Lyxor platform verses those of the associated main hedge funds. Lyxor accounts are traded pari passu with the main fund but provide superior...

We reexamine hedge fund preferences for stock characteristics using aggregate quarterly hedge fund holdings and a large set of firm characteristics. We find that the expanded set of firm characteristics is important in explaining variation in quarterly hedge fund holdings. Consistent with prior...

We investigate how information choices impact equity returns and risk. Building on an existing theoretical model of information and investment choice, we estimate a learning index that reflects the expected benefits of learning about an asset. High learning index stocks have lower future returns...