The impact of portfolio disclosure on hedge fund performance

• 成果类型: Article
• 署名作者: Shi, Zhen
• 署名单位: University System of Georgia; Georgia State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.06.001
• 发表日期: 2017
• 页码: 36-53
• 关键词: Mandatory portfolio disclosure; Hedge fund performance; Proprietary cost

摘要

Consistent with the argument that portfolio disclosure reveals trade secrets, a difference in-differences estimation suggests a drop in fund performance after a hedge fund begins filing Form 13F as well as an increase in return correlations with other funds in the same investment style. The drop in performance is concentrated among funds with larger expected proprietary costs of disclosure, for instance, funds that disclose a greater fraction of their assets or hold more illiquid stocks. The drop in performance cannot be fully explained by alternative explanations such as decreasing returns to scale or mean reversion in fund returns. (C) 2017 Elsevier B.V. All rights reserved.