Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide
Georgia State University; University of Cologne - Centre for Financial Research (CFR)
Columbia Business School - Finance and Economics
Singapore Management University - Lee Kong Chian School of Business
Georgia State University - Robinson College of Business
February 20, 2012
Journal of Finance, Forthcoming
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
Date posted: March 21, 2011 ; Last revised: November 14, 2013
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