Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings

• 成果类型: Article
• 署名作者: Agarwal, Vikas; Fos, Vyacheslav; Jiang, Wei
• 署名单位: University System of Georgia; Georgia State University; University of Cologne; University of Illinois System; University of Illinois Urbana-Champaign; Columbia University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1120.1647
• 发表日期: 2013
• 页码: 1271-1289
• 关键词: HEDGE FUNDS; mandatory and voluntary disclosure; reporting and selection biases

摘要

This paper formally analyzes the biases related to self-reporting in hedge fund databases by matching the quarterly equity holdings of a complete list of 13F-filing hedge fund companies to the union of five major commercial databases of self-reporting hedge funds between 1980 and 2008. We find that funds initiate self-reporting after positive abnormal returns that do not persist into the reporting period. Termination of self-reporting, is followed by both return deterioration and outflows from the funds. The propensity to self-report is consistent with the trade-offs between the benefits (e.g., access to prospective investois) and costs (e.g., partial loss of trading secrecy and flexibility in selective marketing). Finally, returns of self-reporting funds are higher than that of nonreporting funds using characteristic-based benchmarks. However, the difference is not significant using alternative choices of performance measures.