59 Pages Posted: 16 Mar 2018 Last revised: 10 Aug 2020

Date Written: August 7, 2020

Abstract

Public information is widely viewed as a way to level the playing field among investors. We provide evidence that is inconsistent with this notion; public information can make private signals more valuable. Hedge funds acquiring public information subsequently earn 1.5%-higher annualized abnormal returns than non-acquirors. Acquisition forecasts news and its value-relevance, suggesting that public information complements private signals. The positive relation between public information acquisition and fund performance is not explained by information processing skill, time-varying effort, or other differences in fund ability. Our results inform theories that make assumptions on the relation between public and private signals.