Journal of Financial Economics·Volume 126, Issue 1·October 2017·Pages 36-53

资产组合的披露对对冲基金表现的影响

作者：Zhen Shi（Georgia State University, J. Mack Robinson College of Business）

摘要： 与投资组合的披露会揭示商业秘密的观点一致，双重差分估计表明，对冲基金开始提交持仓报告模板后，基金的表现会下降，并且与其他相同投资风格基金的回报相关性增加。 基金表现的下降集中在具有较大预期披露成本的基金之间，例如披露其资产的较大部分或持有更多非流动股的基金。基金表现的下降不能完全被其他理论所解释，例如规模收益递减或基金收益的均值回归。

关键词：强制性披露资产组合，对冲基金的表现，专有化成本

The impact of portfolio disclosure on hedge fund performance

Zhen Shi（Georgia State University, J. Mack Robinson College of Business）

ABSTRACT

Consistent with the argument that portfolio disclosure reveals trade secrets, a difference-in-differences estimation suggests a drop in fund performance after a hedge fund begins filing Form 13F as well as an increase in return correlations with other funds in the same investment style. The drop in performance is concentrated among funds with larger expected proprietary costs of disclosure, for instance, funds that disclose a greater fraction of their assets or hold more illiquid stocks. The drop in performance cannot be fully explained by alternative explanations such as decreasing returns to scale or mean reversion in fund returns.

Keywords：Mandatory portfolio disclosure, Hedge fund performance, Proprietary cost

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X17301186#!

翻译：何杉