Strategic Delays and Clustering in Hedge Fund Reported Returns
研究发现对冲基金经理会策略性延迟报告差业绩，有时与后续好业绩聚类，形成“业绩平滑”；延迟报告可预示运营风险或管理质量差，据此构建的投资组合年化超额收益达3%。
We use a novel database to study the timeliness of hedge fund monthly performance disclosures. Managers engage in strategic timing: poor monthly returns are reported with delay, sometimes clustered with stronger subsequent performance, suggestive of “performance smoothing.” We posit that propensity to delay could reveal operational risk and/or poor managerial quality. Consistent with this, a portfolio strategy that buys (sells) funds with historically timely (untimely) reporting delivers 3% annual-style-adjusted returns. Investor flows are lower following reporting delays, although there are potential benefits to managers from delaying reporting when performance is sufficiently poor. We conclude that timely disclosure is an important consideration for hedge fund managers and investors.