Do Market Participants Care about Portfolio Disclosure? Evidence from Hedge Funds’ 13F Filings

Abstract:     
We examine market participants’ use of hedge funds’ 13F filings. We detect abnormal trading volume and positive returns immediately after disclosure, likely due to copycat investors. However, we find no evidence that long-term investors benefit from 13F based trading. We also find abnormal negative returns around hedge fund SEC investigation announcements, again suggesting 13F-based trading. These reactions are unique to hedge funds, as a mutual fund sample does not have similar results. Overall, our findings suggest that market participants attempt to take advantage of hedge fund disclosures, but only limited evidence that they actually benefit from such actions.

Number of Pages in PDF File: 56

Keywords: Hedge Funds, 13F Filings, Disclosure, copy-cat trading

JEL Classification: G2, K2

working papers series