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The Impact of Portfolio Disclosure on Hedge Fund Performance, Fees, and Flows

Abstract This study investigates the impact of portfolio disclosure on hedge fund performance. Using a regression discontinuity design, I investigate the effect of the disclosure requirements that take effect when an investment company's assets exceed $100 million; when that occurs, a fund is required by the SEC to submit form 13F disclosing its portfolio holdings. Consistent with the argument that portfolio disclosure reveals "trade secrets" and also raises front running costs thus harms the funds that disclose, I find that there is a drop in fund performance (about 4% annually) after a fund begins filing form 13F, as well as an increase in return correlations with other hedge funds in the same investment style. The drop in performanc... (more)
Created Date 2011
Contributor Shi, Zhen (Author) / Hertzel, Michael (Advisor) / Aragon, George (Advisor) / Coles, Jeffrey (Committee member) / Arizona State University (Publisher)
Subject Business
Type Doctoral Dissertation
Extent 57 pages
Language English
Reuse Permissions All Rights Reserved
Note Ph.D. Business Administration 2011
Collaborating Institutions Graduate College / ASU Library
Additional Formats MODS / OAI Dublin Core / RIS

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Description Dissertation/Thesis