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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP14873 |
DP14873 Does Secrecy Signal Skill? Characteristics and Performance of Secretive Hedge Funds | |
Olga Kuzmina; Patrick Kelly; Sergiy Gorovyy | |
发表日期 | 2020-06-11 |
出版年 | 2020 |
语种 | 英语 |
摘要 | Using a proprietary database that tracks secrecy with respect to a hedge fund's own investors, we find few benefits to own-investor secrecy. These findings contrast with research on secrecy regarding public disclosure. Secretive funds do not outperform transparent funds, and significantly underperform their strategy-matched peers through the financial crisis, consistent with secretive funds loading on unmeasured risks, but inconsistent with own-investor secrecy signalling skill. Though no different in terms of portfolio concentration and leverage, secretive funds are larger, less liquid, more complex, and more likely to file 13F disclosures and request confidential treatment from those disclosures. Secretive funds have lower flow-to-performance sensitivity, even controlling for illiquidity, suggesting that investors do view secretive and transparent funds differently. |
主题 | Financial Economics |
关键词 | Hedge funds Disclosure Secrecy transparency Risk premia |
URL | https://cepr.org/publications/dp14873 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543811 |
推荐引用方式 GB/T 7714 | Olga Kuzmina,Patrick Kelly,Sergiy Gorovyy. DP14873 Does Secrecy Signal Skill? Characteristics and Performance of Secretive Hedge Funds. 2020. |
条目包含的文件 | 条目无相关文件。 |
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