Do Market Participants Care about Portfolio Disclosure? Evidence from Hedge Funds’ 13F Filings

71 Pages Posted: 28 Sep 2010 Last revised: 19 Dec 2020

See all articles by Stephen J. Brown

Stephen J. Brown

New York University - Stern School of Business

Christopher Schwarz

University of California, Irvine - The Paul Merage School of Business

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

Brown, Stephen J. and Schwarz, Christopher, Do Market Participants Care about Portfolio Disclosure? Evidence from Hedge Funds’ 13F Filings (December 17, 2020). Available at SSRN: https://ssrn.com/abstract=1683628 or http://dx.doi.org/10.2139/ssrn.1683628

Stephen J. Brown (Contact Author)

New York University - Stern School of Business ( email )

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0306 (Phone)
212-995-4233 (Fax)

Christopher Schwarz

University of California, Irvine - The Paul Merage School of Business ( email )

Irvine, CA 92697-3125
United States

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