Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide

被引：121

作者：

Agarwal, Vikas ^{[1
,2
]}

Jiang, Wei ^{[3
]}

Tang, Yuehua ^{[1
]}

Yang, Baozhong ^{[1
]}

机构：

[1] Georgia State Univ, J Mack Robinson Coll Business, Atlanta, GA 30303 USA

[2] Univ Cologne, Ctr Financial Res, Cologne, Germany

[3] Columbia Univ, Grad Sch Business, New York, NY 10027 USA

来源：

JOURNAL OF FINANCE | 2013年 / 68卷 / 02期

关键词：

DISCLOSURE REGULATION; ANALYST COVERAGE; STOCK RETURNS; PERFORMANCE; EQUITY; MARKET; RISK; MANAGEMENT; COSTS; BENCHMARKS;

D O I：

10.1111/jofi.12012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with nonconventional 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 12 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.

引用

页码：739 / 783

页数：45