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CFR Working Papers, Centre for Financial Research (CFR), Universität Köln >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/41375
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| Title: | | Inferring reporting biases in hedge fund databases from hedge fund equity holdings |
| Authors: | | Agarwal, Vikas Fos, Vyacheslav Jiang, Wei |
| Issue Date: | | 2010 |
| Series/Report no.: | | CFR working paper 10-08 |
| Abstract: | | This paper is a first study to formally analyze the biases related to self-reporting in the hedge funds databases by matching the quarterly equity holdings of a complete list of 13F-filing hedge fund companies to the union of five major commercial databases of self-reporting hedge funds between 1980 and 2008. Conditional on self-reporting, we find significant evidence of both a timing bias and a delisting bias: Funds initiate self-reporting after positive abnormal returns which do not persist into the reporting period; while termination of self-reporting is followed by both return deterioration and fund outflows. Unconditionally, the propensity to self-report is consistent with the trade-offs between the benefits (e.g., access to prospective investors) and costs (e.g., partial loss of trading secrecy and flexibility in selective marketing). Finally, self-reporting and non-reporting funds do not differ significantly in return performance, reflecting the offsetting factors motivating self-reporting. |
| Is replaced by the following version: | | http://hdl.handle.net/10419/70118 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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| The document was removed on behalf of the author(s)/ the editor(s) on: February 13, 2013 |
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