Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide

• 成果类型: Article
• 署名作者: Agarwal, Vikas; Jiang, Wei; Tang, Yuehua; Yang, Baozhong
• 署名单位: University System of Georgia; Georgia State University; University of Cologne; Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12012
• 发表日期: 2013
• 页码: 739-783
• 关键词: DISCLOSURE REGULATION; ANALYST COVERAGE; stock returns; performance; equity; MARKET; RISK; management; COSTS; benchmarks

摘要

This paper studies the confidential holdings of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater information asymmetry. Confidential holdings exhibit superior performance up to 12 months, and tend to take longer to build. Together the evidence supports private information and the associated price impact as the dominant motives for confidentiality.