Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide
研究机构投资者（尤其是对冲基金）延迟披露的保密持仓，发现这些持仓的股票与信息敏感事件相关，且表现优于公开持仓，支持保密动机源于私有信息和价格影响。
ABSTRACT This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where the quarter‐end equity holdings are disclosed with a delay through amendments to Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information‐sensitive events or share characteristics indicating greater information asymmetry. Confidential holdings exhibit superior performance up to 12 months, and tend to take longer to build. Together the evidence supports private information and the associated price impact as the dominant motives for confidentiality.