Inferring Reporting Biases in Hedge Fund Databases from Hedge Fund Equity Holdings
Coauthor(s): Vikas Agarwal, Vyacheslav Fos.
Adobe Acrobat PDF
This paper is a first study that formally analyzes the degree of the self-reporting bias in the hedge funds databases by exploring the quarterly equity holdings of a complete list of hedge fund companies
that file the Form 13F to the SEC between 1980 and 2008 and self-report their performance to a union of five major hedge fund databases. We find that the propensity to self-report is consistent with the tradeoffs between the benefits (access to prospective investors) and costs (revealing trading secrecy and losing flexibility in selective marketing) of self-reporting. Though self-reporting and non-reporting funds do not differ significantly in return performance, reporting funds experience substantial deterioration in performance after both the reporting initiation and termination dates.
Source: Working Paper
Agarwal, Vikas, Vyacheslav Fos, and Wei Jiang. "Inferring Reporting Biases in Hedge Fund Databases from Hedge Fund Equity Holdings." Working Paper, Columbia Business School, 2010.