Article2012

Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide

Vikas Agarwal · Wei Jiang · Yuehua Tang · Baozhong Yang

271 citations0/0 files storedThe Journal of Finance

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

Abstract

ABSTRACT 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.

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References

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2014Window Dressing in Mutual Funds 2020Anomalies and the Expected Market Return 2013Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings 2016Redacting proprietary information at the initial public offering 2015Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance 2018Sentiment Metrics and Investor Demand

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