Do Market Participants Care about Portfolio Disclosure? Evidence from Hedge Funds’ 13F Filings
71 Pages Posted: 28 Sep 2010 Last revised: 19 Dec 2020
Date Written: December 17, 2020
Abstract
We examine market participants’ use of hedge funds’ 13F filings. We detect 13F filings are downloaded frequently and that these filings’ holdings display abnormal trading volume and positive returns immediately after disclosure, likely due to copycat investors. However, we find little evidence of long-term benefit from copycatting. We also find abnormal negative returns around hedge fund SEC investigation announcements. 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 little evidence this cases harm to hedge funds.
Keywords: Hedge Funds, 13F Filings, Disclosure, copy-cat trading
JEL Classification: G2, K2
Suggested Citation: Suggested Citation
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