47 Pages Posted: 15 Mar 2012 Last revised: 4 Sep 2013
Date Written: June 1, 2012
We study a sample of Form 13F filings where fund advisors seek confidential treatment for some, or all, of their 13(f)-reportable positions. Consistent with the hypothesis that managers seek confidentiality to protect proprietary information we find that confidential positions earn positive and significant abnormal returns over the post-filing confidential period. We also find that managers are more likely to seek confidential treatment of illiquid positions that are more susceptible to front-running. Overall, our analysis highlights important benefits of reduced disclosure that are relevant to the current policy debate on hedge fund transparency.
Keywords: Disclosure, Hedge Fund Performance, Financial Regulation
JEL Classification: G28
Suggested Citation: Suggested Citation
Aragon, George O. and Hertzel, Michael G. and Shi, Zhen, Why Do Hedge Funds Avoid Disclosure? Evidence from Confidential 13F Filings (June 1, 2012). AFA 2011 Denver Meetings Paper; Journal of Financial and Quantitative Analysis (JFQA), Forthcoming. Available at SSRN: https://ssrn.com/abstract=1569736 or http://dx.doi.org/10.2139/ssrn.1569736