Why Do Hedge Funds Avoid Disclosure?

We study the “confidential holdings” of hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F. Funds managing large risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportion...

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Main Author: TANG, Yuehua
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Language:English
Published: Institutional Knowledge at Singapore Management University 2013
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research_smu/146
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1252&context=lkcsb_research_smu
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spelling sg-smu-ink.lkcsb_research_smu-12522018-07-10T06:32:07Z Why Do Hedge Funds Avoid Disclosure? TANG, Yuehua We study the “confidential holdings” of hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F. 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. Hedge funds trade approximately three times more and take about three times as long to accumulate their confidential stakes compared to their original holdings. Confidential holdings exhibit significantly higher abnormal performance compared to their original holdings, with the annualized outperformance over the 12-month horizon ranges from 5.2% to 7.5%. Together our evidence reveals that private information is the dominant motive for seeking confidentiality and that hedge funds have stock picking skill in their confidential holdings. 2013-01-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research_smu/146 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1252&context=lkcsb_research_smu http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business (SMU Access Only) eng Institutional Knowledge at Singapore Management University Business
institution Singapore Management University
building SMU Libraries
country Singapore
collection InK@SMU
language English
topic Business
spellingShingle Business
TANG, Yuehua
Why Do Hedge Funds Avoid Disclosure?
description We study the “confidential holdings” of hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F. 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. Hedge funds trade approximately three times more and take about three times as long to accumulate their confidential stakes compared to their original holdings. Confidential holdings exhibit significantly higher abnormal performance compared to their original holdings, with the annualized outperformance over the 12-month horizon ranges from 5.2% to 7.5%. Together our evidence reveals that private information is the dominant motive for seeking confidentiality and that hedge funds have stock picking skill in their confidential holdings.
format text
author TANG, Yuehua
author_facet TANG, Yuehua
author_sort TANG, Yuehua
title Why Do Hedge Funds Avoid Disclosure?
title_short Why Do Hedge Funds Avoid Disclosure?
title_full Why Do Hedge Funds Avoid Disclosure?
title_fullStr Why Do Hedge Funds Avoid Disclosure?
title_full_unstemmed Why Do Hedge Funds Avoid Disclosure?
title_sort why do hedge funds avoid disclosure?
publisher Institutional Knowledge at Singapore Management University
publishDate 2013
url https://ink.library.smu.edu.sg/lkcsb_research_smu/146
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1252&context=lkcsb_research_smu
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