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http://hdl.handle.net/10419/41384
  
Title:Uncovering hedge fund skill from the portfolio holdings they hide
Authors:Agarwal, Vikas
Jiang, Wei
Tang, Yuehua
Yang, Baozhong
Issue Date:2010
Series/Report no.:CFR working paper 10-09
Abstract:This paper studies the 'confidential holdings' of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a significant delay through amendments to the Form 13F. Our evidence supports hiding private information as the dominant motive for hedge funds to seek confidentiality. Hedge funds managing large risky portfolios with less conventional investment strategies seek confidentiality more frequently. Stocks included in the confidential holdings of hedge funds are disproportionately associated with information-sensitive events such as mergers and acquisitions, and share characteristics indicating greater information asymmetry. Moreover, confidential holdings of hedge funds exhibit superior performance up to the typical confidential period of twelve months, suggesting valuable private information. Overall, our study presents new evidence on the performance of hedge funds, provides reference on the potential limitations of the standard 13F holdings databases which usually exclude the confidential holdings, and contributes to the policy debate regarding ownership disclosure.
Subjects:Confidential treatment
ownership disclosure
13F holdings
hedge funds
JEL:G10
G19
Is replaced by the following version:http://hdl.handle.net/10419/70126
Document Type:Working Paper
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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