Do Hedge Funds Strategically Misreport Their Holdings? Evidence from 13F Restatements
研究对冲基金通过修正13F季度持仓报告来策略性误报原始持仓，发现修正持仓伴随显著异常收益，且修正收益差可预测未来基金业绩。
Hedge funds can subsequently amend their originally reported 13F quarterly holdings using restatements. We conduct the first systematic analysis of such filings, which are as common as confidential filings (used by funds to delay holding disclosures) but affect three times as many stocks. Restated holdings are associated with significant abnormal returns, suggesting that some original holdings are strategically misreported to hide funds’ trading intentions and that later restatements facilitate copycat trading and price convergence. We construct a restatement return gap measure to gauge the value added by such restatements and find that a positive return gap is predictive of superior future fund performance. This paper was accepted by Kay Giesecke, finance. Funding: S. Cao acknowledges support from the AI Initiative from Capital Markets Research at the University of Maryland. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2024.08833 .