Publication Type

Journal Article

Version

Preprint

Publication Date

6-2013

Abstract

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 funds initiate self-reporting after positive abnormal returns that do not persist into the reporting period. Termination of self-reporting is followed by both return deterioration and outflows from the funds. The propensity to self-report is consistent with the trade-offs between the benefits (e.g., access to prospective investors) and costs (e.g., partial loss of trading secrecy and flexibility in selective marketing). Finally, returns of self-reporting funds are higher than that of nonreporting funds using characteristic-based benchmarks. However, the difference is not significant using alternative choices of performance measures.

Keywords

hedge funds, self-reporting, mandatory disclosure, voluntary disclosure, reporting biases, selection biases

Discipline

Finance and Financial Management

Publication

Management Science

Issue

6

First Page

1271

Last Page

1289

ISSN

0025-1909

Identifier

10.1287/mnsc.1120.1647

Publisher

INFORMS

Copyright Owner and License

Authors

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

https://doi.org/10.1287/mnsc.1120.1647

Comments

The research was partially funded by BNPP Hedge Fund Centre at Singapore Management Centre. Copy made available with permission of the authors.

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