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Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide
Author(s) -
AGARWAL VIKAS,
JIANG WEI,
TANG YUEHUA,
YANG BAOZHONG
Publication year - 2013
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/jofi.12012
Subject(s) - confidentiality , hedge fund , business , portfolio , private information retrieval , quarter (canadian coin) , information asymmetry , equity (law) , institutional investor , monetary economics , actuarial science , finance , economics , corporate governance , statistics , mathematics , archaeology , political science , law , history
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.