Abstract

http://ssrn.com/abstract=1934543
 
 

References (38)



 
 

Citations (3)



 


 



Change You Can Believe In? Hedge Fund Data Revisions


Andrew J. Patton


Duke University - Department of Economics

Tarun Ramadorai


University of Oxford - Said Business School; University of Oxford - Oxford-Man Institute of Quantitative Finance; Centre for Economic Policy Research (CEPR)

Michael Streatfield


University of Oxford - Said Business School; Oxford-Man Institute of Quantitative Finance

March 22, 2013

Journal of Finance, Forthcoming

Abstract:     
We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly available hedge fund databases. Tracking changes to statements of historical performance recorded at different points in time between 2007 and 2011, we find that historical returns are routinely revised. These revisions are not merely random or corrections of earlier mistakes; they are partly forecastable by fund characteristics. Moreover, funds that revise their performance histories significantly and predictably underperform those that have never revised, suggesting that unreliable disclosures constitute a valuable source of information for current and potential investors. These results speak to current debates about mandatory disclosures by financial institutions to market regulators.

Number of Pages in PDF File: 87

Keywords: hedge funds, disclosure, asymmetric information, finance regulation, performance

JEL Classification: D82, G14, G23, L15

Accepted Paper Series


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Date posted: September 30, 2011 ; Last revised: June 30, 2013

Suggested Citation

Patton, Andrew J. and Ramadorai, Tarun and Streatfield, Michael, Change You Can Believe In? Hedge Fund Data Revisions (March 22, 2013). Journal of Finance, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1934543 or http://dx.doi.org/10.2139/ssrn.1934543

Contact Information

Andrew J. Patton
Duke University - Department of Economics ( email )
Durham, NC 27708-0204
United States
HOME PAGE: http://econ.duke.edu/~ap172/
Tarun Ramadorai (Contact Author)
University of Oxford - Said Business School ( email )
Park End Street
Oxford, OX1 1HP
Great Britain
+44 1865 278 816 (Phone)
+44 1865 288 805 (Fax)
HOME PAGE: http://www.tarunramadorai.com
University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )
Eagle House
Walton Well Road
Oxford, Oxfordshire OX2 6ED
United Kingdom
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Michael Streatfield
University of Oxford - Said Business School ( email )
Park End Street
Oxford, OX1 1HP
Great Britain
Oxford-Man Institute of Quantitative Finance
Eagle House
Walton Well Road
Oxford, Oxfordshire OX2 6ED
United Kingdom
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