Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide

78 Pages Posted: 21 Mar 2011 Last revised: 14 Nov 2013

Vikas Agarwal

Georgia State University; University of Cologne - Centre for Financial Research (CFR)

Wei Jiang

Columbia Business School - Finance and Economics

Yuehua Tang

University of Florida - Department of Finance

Baozhong Yang

Georgia State University - Robinson College of Business

Date Written: February 20, 2012

Abstract

This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to the Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with non-conventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater information asymmetry. Confidential holdings exhibit superior performance up to twelve months, and tend to take longer to build. Together the evidence supports private information and the associated price impact as the dominant motives for confidentiality.

Keywords: Confidential treatment, ownership disclosure, 13F holdings, hedge funds

JEL Classification: G10, G19

Suggested Citation

Agarwal, Vikas and Jiang, Wei and Tang, Yuehua and Yang, Baozhong, Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide (February 20, 2012). Journal of Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1787171 or http://dx.doi.org/10.2139/ssrn.1787171

Vikas Agarwal (Contact Author)

Georgia State University ( email )

35 Broad Street,
Suite 1221
Atlanta, GA 30303-3083
United States
404-413-7326 (Phone)
404-413-7312 (Fax)

HOME PAGE: http://www.gsu.edu/~fncvaa

University of Cologne - Centre for Financial Research (CFR)

Albertus-Magnus Platz
Cologne, 50923
Germany

Wei Jiang

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States
(212) 854-5553 (Phone)

Yuehua Tang

University of Florida - Department of Finance ( email )

P.O. Box 117168
Gainesville, FL 32611
United States

HOME PAGE: http://sites.google.com/site/yuehuatang

Baozhong Yang

Georgia State University - Robinson College of Business ( email )

35 Broad Street
Atlanta, GA 30303-3083
United States
404-413-7350 (Phone)
404-413-7312 (Fax)

HOME PAGE: http://www2.gsu.edu/~fncbyy/index.html

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