Abstract

http://ssrn.com/abstract=1683628
 
 

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


Stephen J. Brown


New York University - Stern School of Business

Christopher Schwarz


University of California at Irvine

May 8, 2013


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

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Date posted: September 28, 2010 ; Last revised: May 8, 2013

Suggested Citation

Brown, Stephen J. and Schwarz, Christopher, Do Market Participants Care about Portfolio Disclosure? Evidence from Hedge Funds’ 13F Filings (May 8, 2013). Available at SSRN: http://ssrn.com/abstract=1683628 or http://dx.doi.org/10.2139/ssrn.1683628

Contact Information

Stephen J. Brown (Contact Author)
New York University - Stern School of Business ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0306 (Phone)
212-995-4233 (Fax)
Christopher Schwarz
University of California at Irvine ( email )
Irvine, CA 92697-3125
United States
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