Hedge Fund Voluntary Disclosure

38 Pages Posted: 21 Mar 2015 Last revised: 11 Nov 2016

See all articles by Gavin Cassar

Gavin Cassar

INSEAD

Joseph Gerakos

Tuck School of Business at Dartmouth College; Dartmouth College - Tuck School of Business

Jeremiah Green

Texas A&M University - Department of Accounting

John R. M. Hand

University of North Carolina Kenan-Flagler Business School

Matthew Neal

Unaffiliated Authors (Deceased)

Date Written: November 11, 2016

Abstract

Using a dataset of 3,234 letters sent by 434 hedge funds to their investors during 1995-2011, we study what motivates hedge fund managers to make voluntary disclosures. Contrary to the hedge fund industry’s reputation for opacity, we observe that managers provide their investors with an array of quantitative and qualitative information about fund returns, risk exposures, holdings, benchmarks, performance attribution, and future prospects. We find that the tensions between the agency costs faced by investors and the proprietary costs faced by managers affect fund disclosures. Consistent with managers reducing proprietary costs, better performing funds disclose less quantitative data about performance and holdings, and consistent with the presence of agency costs, riskier funds disclose less quantitative information about performance and assets under management.

Keywords: Voluntary disclosures; hedge funds; investor letters; proprietary costs; agency costs

JEL Classification: G11, G18, G23, G38

Suggested Citation

Cassar, Gavin and Gerakos, Joseph and Green, Jeremiah and Hand, John R. M. and Neal, Matthew, Hedge Fund Voluntary Disclosure (November 11, 2016). Available at SSRN: https://ssrn.com/abstract=2580839 or http://dx.doi.org/10.2139/ssrn.2580839

Gavin Cassar

INSEAD ( email )

Boulevard de Constance
Fontainebleau, 77305
France

HOME PAGE: http://https://www.insead.edu/faculty-research/faculty/gavin-cassar

Joseph Gerakos

Tuck School of Business at Dartmouth College ( email )

Hanover, NH 03755
United States

Dartmouth College - Tuck School of Business ( email )

Hanover, NH 03755
United States

Jeremiah Green

Texas A&M University - Department of Accounting ( email )

430 Wehner
College Station, TX 77843-4353
United States

John R. M. Hand (Contact Author)

University of North Carolina Kenan-Flagler Business School ( email )

McColl Building
Chapel Hill, NC 27599-3490
United States
919-962-3173 (Phone)
919-962-4727 (Fax)

Matthew Neal

Unaffiliated Authors (Deceased)

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