학회소식
[2019년 제 4차] Does Portfolio Disclosure Make Money Smarter?
작성자 : 관리자
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게시일 :
2019-12-13
We document the benefits of mandatory portfolio disclosure in the hedge fund market.
We study investor purchasing and selling decisions, captured by hedge fund flows.
After a fund begins filing Form 13F with the Securities and Exchange Commission, we
find that investor flows are better able to predict fund performance (i.e., money becomes
“smarter”). In particular, the spread in performance between high- and low-flow
funds is 3.7 percentage points higher for 13F-filing funds compared with non-filers. We
analyze cross-sectional differences in the precision, usefulness, and access of information,
and find evidence that the increase in smart money is driven by the information
channel. In addition, using a subset of funds of hedge funds (“FoFs”) for which we have
holdings data, we find that FoFs earn superior returns on their portfolios of 13F-filing
hedge funds. These results help contribute to the cost-benefit analysis of mandatory
disclosure.
