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Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide

Author

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  • VIKAS AGARWAL
  • WEI JIANG
  • YUEHUA TANG
  • BAOZHONG YANG

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 the Form 13F and are usually excluded from the standard databases. Evidence supports private information as the dominant motive for confidentiality. Funds managing large risky portfolios with non-conventional 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 twelve months. The probability of SEC approval is associated with the fraction of portfolios seeking confidentiality and the filer's track records.
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(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Vikas Agarwal & Wei Jiang & Yuehua Tang & Baozhong Yang, 2013. "Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide," Journal of Finance, American Finance Association, vol. 68(2), pages 739-783, April.
    • Handle: RePEc:bla:jfinan:v:68:y:2013:i:2:p:739-783
    DOI: jofi.12012
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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G19 - Financial Economics - - General Financial Markets - - - Other

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