Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings

• Main Authors: AGARWAL, Vikas, FOS, Vyacheslav, JIANG, Wei
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: hedge funds; self-reporting; mandatory disclosure; voluntary disclosure; reporting biases; selection biases; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/bnp_research/19; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1015&context=bnp_research
• Institution: Singapore Management University

This paper formally analyzes the biases related to self-reporting in hedge fund databases by matching the quarterly equity holdings of a complete list of 13F-filing hedge fund companies to the union of five major commercial databases of self-reporting hedge funds between 1980 and 2008. We find that...