Publication Type
Journal Article
Version
submittedVersion
Publication Date
4-2013
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.
Keywords
Hedge Funds, Confidential holdings, 13F Filing
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Journal of Finance
Volume
68
Issue
2
First Page
739
Last Page
783
ISSN
1540-6261
Identifier
10.1111/jofi.12012
Publisher
Wiley
Citation
Agarwal, Vikas; JIANG, Wei; TANG, Yuehua; and YANG, Baozhong.
Uncovering hedge fund skill from the portfolio holdings they hide. (2013). Journal of Finance. 68, (2), 739-783.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/4602
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1111/jofi.12012