Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings
通过匹配1980-2008年间对冲基金的季度股权持仓与五大商业数据库，分析自我报告偏差，发现基金在正异常收益后开始报告但收益不持续，终止报告后业绩恶化且资金流出，报告动机取决于收益与成本权衡。
This paper formally analyzes the biases related to self-reporting in hedge fund databases by matching the quarterly equity holdings of a complete list of 13F-filing hedge fund companies to the union of five major commercial databases of self-reporting hedge funds between 1980 and 2008. We find that funds initiate self-reporting after positive abnormal returns that do not persist into the reporting period. Termination of self-reporting is followed by both return deterioration and outflows from the funds. The propensity to self-report is consistent with the trade-offs between the benefits (e.g., access to prospective investors) and costs (e.g., partial loss of trading secrecy and flexibility in selective marketing). Finally, returns of self-reporting funds are higher than that of nonreporting funds using characteristic-based benchmarks. However, the difference is not significant using alternative choices of performance measures. This paper was accepted by Brad Barber, finance.