Strategic (Inconsistent) Disclosures and Sophisticated Investors: Evidence from Hedge Funds
研究发现40%的对冲基金披露文件有意淡化或省略运营和投资风险信息，这类基金业绩更差，但资金流入和费用未受影响，表明成熟投资者也未能完全识破策略性隐瞒。
ABSTRACT Recent SEC regulations require that qualified hedge fund advisers provide their investors with narrative disclosures of their business and operations. We find that 40% of these disclosures omit or de‐emphasize information regarding advisers' operational and investment risks when compared to other sources of public information. Funds with such “inconsistencies” are associated with predictably lower fund performance but do not differ in their fund flows, flow‐performance relation, ownership structure, or management fees. These results are consistent with investors being subject to limited strategic thinking, which prevents them from fully unraveling the implications of strategic omissions. This, in turn, contributes to advisers' successful use of discretion to de‐emphasize information with adverse performance implications. Our findings suggest that information processing frictions can facilitate nondisclosure, even in markets with sophisticated investors.