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Why Do Hedge Funds Avoid Disclosure? Evidence from Confidential 13F Filings

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  • Aragon, George O.
  • Hertzel, Michael
  • Shi, Zhen

Abstract

We study a sample of Form 13F filings where fund advisors seek confidential treatment for some or all of their 13(f)-reportable positions. Consistent with the hypothesis that managers seek confidentiality to protect proprietary information, we find that confidential positions earn positive and significant abnormal returns over the post-filing confidential period. We also find that managers are more likely to seek confidential treatment of illiquid positions that are more susceptible to front-running. Overall, our analysis highlights important benefits of reduced disclosure that are relevant to the current policy debate on hedge fund transparency.

Suggested Citation

  • Aragon, George O. & Hertzel, Michael & Shi, Zhen, 2013. "Why Do Hedge Funds Avoid Disclosure? Evidence from Confidential 13F Filings," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(5), pages 1499-1518, October.
    • Handle: RePEc:cup:jfinqa:v:48:y:2013:i:05:p:1499-1518_00
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