Hedge Fund Voluntary Disclosure

• 成果类型: Article
• 署名作者: Cassar, Gavin J.; Gerakos, Joseph J.; Green, Jeremiah R.; Hand, John R. M.; Neal, Matthew
• 署名单位: INSEAD Business School; Dartmouth College; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-51841
• 发表日期: 2018
• 页码: 117-135
• 关键词: CORPORATE DISCLOSURE; AGENCY COSTS; management; returns; performance; skill; RISK

摘要

Using a dataset of 3,234 letters sent by 434 hedge funds to their investors during 1995-2011, we study what motivates hedge fund managers to make voluntary disclosures. Contrary to the hedge fund industry's reputation for opacity, we observe that managers provide their investors with an array of quantitative and qualitative information about fund returns, risk exposures, holdings, benchmarks, performance attribution, and future prospects. We find that the tensions between the agency costs faced by investors and the proprietary costs faced by managers affect fund disclosures. Consistent with managers reducing proprietary costs, better-performing funds disclose less quantitative data about performance and holdings, and consistent with the presence of agency costs, riskier funds disclose less quantitative information about performance and assets under management.