Publication Type
Journal Article
Publication Date
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
Business
Publication
The Journal of Finance
Volume
68
Issue
2
First Page
739-783
ISSN
1540-6261
Identifier
10.1111/jofi.12012
Citation
Agarwal, Vikas; Jiang, Wei; TANG, Yuehua; and Yang, Baozhong.
Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide. (2013). The Journal of Finance. 68, (2), 739-783.
Available at: https://ink.library.smu.edu.sg/lkcsb_research_smu/128
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