Change You Can Believe In? Hedge Fund Data Revisions

• 成果类型: Article
• 署名作者: Patton, Andrew J.; Ramadorai, Tarun; Streatfield, Michael
• 署名单位: Duke University; University of Oxford; University of Oxford; Centre for Economic Policy Research - UK; University of Oxford; University of Oxford
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12240
• 发表日期: 2015
• 页码: 963-999
• 关键词: Operational risk; performance; returns; strategies; QUALITY

摘要

We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly-available hedge fund databases. Tracking changes to statements of historical performance recorded between 2007 and 2011, we find that historical returns are routinely revised. These revisions are not merely random or corrections of earlier mistakes; they are partly forecastable by fund characteristics. Funds that revise their performance histories significantly and predictably underperform those that have never revised, suggesting that unreliable disclosures constitute a valuable source of information for investors. These results speak to current debates about mandatory disclosures by financial institutions to market regulators.