Do Hedge Funds Strategically Misreport Their Holdings? Evidence from 13F Restatements
52 Pages Posted: 20 Aug 2021 Last revised: 26 May 2023
Date Written: September 12, 2022
Hedge funds can subsequently amend their originally reported 13F quarterly holdings using restatements. We conduct the first systematic analysis of such filings, which are as common as confidential filings (used by funds to delay holding disclosures) but affect four times as many stocks. Restated holdings are associated with significant abnormal returns, suggesting that some original holdings are strategically misreported to hide funds' trading intentions, and later, restatements are filed to encourage copycat trading. We construct a restatement return gap measure to gauge the value added by such restatements and find it to predict future fund performance in real time.
Keywords: Strategic Disclosure, Hedge Funds, Ownership Disclosure, 13F Holdings, Restatement, Fund Skill
JEL Classification: G10, G19
Suggested Citation: Suggested Citation