I'm not aware of any studies that specifically examine the effects of a large purchase by hedge funds but there have been quite a few that examine the effects of large-block share purchases in general.
My guess that a large hedge-fund purchase would probably be interpreted by the market as an indication of a forthcoming control fight (like a takeover). So, I'd expect it to be followed by an increase in firm value as markets look forward to a takeover battle.
It'd probably be better news if the firm whose stock was purchased had done poorly recently, since a poorly-performing firm is more likely to benefit from a change in managerial control.
Do we know the effects of the news of sizeable a hedge fund purchase on the stock price?
Commenting by HaloScan
