The impact of portfolio disclosure on hedge fund performance
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DOI: 10.1016/j.jfineco.2017.06.001
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… read more here.
Keywords: portfolio disclosure; hedge fund; performance; fund ... See more keywords