56 Pages Posted: 28 Sep 2010 Last revised: 8 May 2013
Date Written: May 8, 2013
We examine market participants’ use of hedge funds’ 13F filings. We detect abnormal trading volume and positive returns immediately after disclosure, likely due to copycat investors. However, we find no evidence that long-term investors benefit from 13F based trading. We also find abnormal negative returns around hedge fund SEC investigation announcements, again suggesting 13F-based trading. 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 only limited evidence that they actually benefit from such actions.
Keywords: Hedge Funds, 13F Filings, Disclosure, copy-cat trading
JEL Classification: G2, K2
Suggested Citation: Suggested Citation
Brown, Stephen J. and Schwarz, Christopher, Do Market Participants Care about Portfolio Disclosure? Evidence from Hedge Funds’ 13F Filings (May 8, 2013). Available at SSRN: https://ssrn.com/abstract=1683628 or http://dx.doi.org/10.2139/ssrn.1683628