Do Hedge Funds Strategically Misreport Their Holdings? Evidence from 13F Restatements

• 成果类型: Article; Early Access
• 署名作者: Cao, Sean; Da, Zhi; Jiang, Xin Daniel; Yang, Baozhong
• 署名单位: University System of Maryland; University of Maryland College Park; University of Notre Dame; University of Waterloo; University System of Georgia; Georgia State University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2024.08833
• 发表日期: 2026
• 关键词: strategic disclosure; Hedge funds; ownership disclosure; 13F holdings; RESTATEMENT; fund skill

摘要

Hedge funds can subsequently amend their originally reported 13F quarterly holdings using restatements. We conduct the first systematic analysis of such filings, which are as common as confidential filings (used by funds to delay holding disclosures) but affect three times as many stocks. Restated holdings are associated with significant abnormal returns, suggesting that some original holdings are strategically misreported to hide funds' trading intentions and that later restatements facilitate copycat trading and price convergence. We construct a restatement return gap measure to gauge the value added by such restatements and find that a positive return gap is predictive of superior future fund performance.