Abstract

http://ssrn.com/abstract=1787171
 
 

References (73)



 
 

Citations (14)



 


 



Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide


Vikas Agarwal


Georgia State University; University of Cologne - Centre for Financial Research (CFR)

Wei Jiang


Columbia Business School - Finance and Economics

Yuehua Tang


Singapore Management University - Lee Kong Chian School of Business

Baozhong Yang


Georgia State University - Robinson College of Business

February 20, 2012

Journal of Finance, Forthcoming

Abstract:     
This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to the Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with non-conventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater information asymmetry. Confidential holdings exhibit superior performance up to twelve months, and tend to take longer to build. Together the evidence supports private information and the associated price impact as the dominant motives for confidentiality.

Number of Pages in PDF File: 78

Keywords: Confidential treatment, ownership disclosure, 13F holdings, hedge funds

JEL Classification: G10, G19

Accepted Paper Series


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Date posted: March 21, 2011 ; Last revised: November 14, 2013

Suggested Citation

Agarwal, Vikas and Jiang, Wei and Tang, Yuehua and Yang, Baozhong, Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide (February 20, 2012). Journal of Finance, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1787171 or http://dx.doi.org/10.2139/ssrn.1787171

Contact Information

Vikas Agarwal (Contact Author)
Georgia State University ( email )
35 Broad Street,
Suite 1221
Atlanta, GA 30303-3083
United States
404-413-7326 (Phone)
404-413-7312 (Fax)
HOME PAGE: http://www.gsu.edu/~fncvaa
University of Cologne - Centre for Financial Research (CFR)
Albertus-Magnus Platz
Cologne, 50923
Germany
Wei Jiang
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States
(212) 854-5553 (Phone)

Yuehua Tang
Singapore Management University - Lee Kong Chian School of Business ( email )
50 Stamford Road
Singapore, 178899
Singapore
+65 6808-5475 (Phone)
+65 6828-0427 (Fax)
HOME PAGE: http://sites.google.com/site/yuehuatang/

Baozhong Yang
Georgia State University - Robinson College of Business ( email )
35 Broad Street
Atlanta, GA 30303-3083
United States
404-413-7350 (Phone)
404-413-7312 (Fax)
HOME PAGE: http://www2.gsu.edu/~fncbyy/index.html
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