The Impact of Portfolio Disclosure on Hedge Fund Performance

WFA 2012 Las Vegas Meetings Paper

60 Pages Posted: 22 Mar 2010 Last revised: 24 Oct 2016

See all articles by Zhen Shi

Zhen Shi

Georgia State University

Date Written: May 21, 2016

Abstract

Consistent with the argument that portfolio disclosure reveals "trade secrets", a difference-in-differences estimation suggests that there is a drop in fund performance after a hedge fund begins filing Form 13F, as well as an increase in return correlations with other funds in the same investment style. The drop in performance is concentrated among funds with larger expected proprietary costs of disclosure — for instance, funds that disclose a greater fraction of their assets or hold more illiquid stocks. The drop in performance cannot be fully explained by alternative explanations such as decreasing returns to scale or mean reversion in fund returns.

Keywords: Mandatory portfolio disclosure, hedge fund performance, proprietary cost

JEL Classification: G23, G28

Suggested Citation

Shi, Zhen, The Impact of Portfolio Disclosure on Hedge Fund Performance (May 21, 2016). WFA 2012 Las Vegas Meetings Paper, Available at SSRN: https://ssrn.com/abstract=1573151 or http://dx.doi.org/10.2139/ssrn.1573151

Zhen Shi (Contact Author)

Georgia State University ( email )

35 Broad Street
Atlanta, GA 30303-3083
United States

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