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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/41384
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| 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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| The document was removed on behalf of the author(s)/ the editor(s) on: February 13, 2013 |
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