G2TT
来源类型Discussion paper
规范类型论文
来源IDDP14873
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
URLhttps://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.
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