Inferring reporting biases in hedge fund databases from hedge fund equity holdings
This paper is a first study to formally analyze the biases related to self-reporting in the hedge funds 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. Conditional on self-reporting, we find significant evidence of both a timing bias and a delisting bias: Funds initiate self-reporting after positive abnormal returns which do not persist into the reporting period; while termination of self-reporting is followed by both return deterioration and fund outflows. Unconditionally, 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, self-reporting and non-reporting funds do not differ significantly in return performance, reflecting the offsetting factors motivating self-reporting.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||2010|
|Date of revision:|
|Contact details of provider:|| Postal: 0221 / 470 5607|
Phone: 0221 / 470 5607
Fax: 0221 / 470 5179
Web page: http://cfr-cologne.de/english/version06/html/home.php
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jens Carsten Jackwerth & James E. Hodder & Olga Kolokolova, 2008.
"Recovering Delisting Returns of Hedge Funds,"
CoFE Discussion Paper
08-09, Center of Finance and Econometrics, University of Konstanz.
- Jackwerth, Jens Carsten & Kolokolova, Olga & Hodder, James E., 2008. "Recovering Delisting Returns of Hedge Funds," MPRA Paper 11641, University Library of Munich, Germany, revised 31 Oct 2008.
- James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova, 2012. "Recovering Delisting Returns of Hedge Funds," Working Paper Series of the Department of Economics, University of Konstanz 2012-34, Department of Economics, University of Konstanz.
- Andrew J. Patton, 2004.
"Are "market neutral" hedge funds really market neutral?,"
LSE Research Online Documents on Economics
24819, London School of Economics and Political Science, LSE Library.
- Andrew J. Patton, 2009. "Are "Market Neutral" Hedge Funds Really Market Neutral?," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2295-2330, July.
- Chen, Qi & Goldstein, Itay & Jiang, Wei, 2010. "Payoff complementarities and financial fragility: Evidence from mutual fund outflows," Journal of Financial Economics, Elsevier, vol. 97(2), pages 239-262, August.
- Chevalier, J. & Ellison, G., 1996.
"Risk Taking by Mutual Funds as a Response to Incentives,"
96-3, Massachusetts Institute of Technology (MIT), Department of Economics.
- Chevalier, Judith & Ellison, Glenn, 1997. "Risk Taking by Mutual Funds as a Response to Incentives," Journal of Political Economy, University of Chicago Press, vol. 105(6), pages 1167-1200, December.
- Judith A. Chevalier & Glenn D. Ellison, 1995. "Risk Taking by Mutual Funds as a Response to Incentives," NBER Working Papers 5234, National Bureau of Economic Research, Inc.
- Andrew Ang & Sergiy Gorovyy & Gregory B. van Inwegen, 2011.
"Hedge Fund Leverage,"
NBER Working Papers
16801, National Bureau of Economic Research, Inc.
- Amin, Gaurav S. & Kat, Harry M., 2003.
"Hedge Fund Performance 1990–2000: Do the “Money Machines” Really Add Value?,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 38(02), pages 251-274, June.
- Gaurav Amin & Harry. M Kat, 2001. "Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value?," ICMA Centre Discussion Papers in Finance icma-dp2001-05, Henley Business School, Reading University, revised Sep 2001.
- Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Brown, Stephen J & Goetzmann, William N & Ibbotson, Roger G, 1999. "Offshore Hedge Funds: Survival and Performance, 1989-95," The Journal of Business, University of Chicago Press, vol. 72(1), pages 91-117, January.
- Markus K. Brunnermeier & Stefan Nagel, 2004. "Hedge Funds and the Technology Bubble," Journal of Finance, American Finance Association, vol. 59(5), pages 2013-2040, October.
- Agarwal, Vikas & Jiang, Wei & Tang, Yuehua & Yang, Baozhong, 2010.
"Uncovering hedge fund skill from the portfolio holdings they hide,"
CFR Working Papers
10-09, University of Cologne, Centre for Financial Research (CFR).
- 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, 04.
- Agarwal, Vikas & Jiang, Wei & Tang, Yuehua & Yang, Baozhong, 2011. "Uncovering hedge fund skill from the portfolio holdings they hide," CFR Working Papers 10-09 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Fung, William & Hsieh, David A & Naik, Narayan & Ramadorai, Tarun, 2006.
"Hedge Funds: Performance, Risk and Capital Formation,"
CEPR Discussion Papers
5565, C.E.P.R. Discussion Papers.
- William Fung & David A. Hsieh & Narayan Y. Naik & Tarun Ramadorai, 2008. "Hedge Funds: Performance, Risk, and Capital Formation," Journal of Finance, American Finance Association, vol. 63(4), pages 1777-1803, 08.
When requesting a correction, please mention this item's handle: RePEc:zbw:cfrwps:1008. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.