The impact of portfolio disclosure on hedge fund performance

Shi, Zhen

doi:10.1016/j.jfineco.2017.06.001

Cited by 39 publications

(15 citation statements)

References 34 publications

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“…This compares with with an average decrease in FH7 alpha of 2.7 p.p. annually, documented by Shi (2017). 10 Furthermore, our cross-sectional tests provide evidence that the increase in smart money is due to the information content of portfolio disclosure.…”

Section: Introductionmentioning

confidence: 67%

“…We document a potential benefit of hedge fund portfolio disclosure. In comparison, Shi (2017) finds that hedge fund performance among 13F filers is about 4.6 p.p. lower than among non-filers.…”

Section: Introductionmentioning

confidence: 92%

“…4 We 1 Brown and Schwarz (2013) document evidence that copycat traders mimic trades revealed in public hedge fund disclosure. Shi (2017) quantifies the cost of public disclosure, and finds that after funds disclose their holdings, their average risk-adjusted performance drops by about 2.7 percentage points annually. Cao, Du, Yang, and Zhang (2018) use the SEC EDGAR log files, combined with public disclosure reported on Form 13F to identify copycats and targets.…”

Section: Introductionmentioning

confidence: 99%

“…Our setting is similar to Shi (2017), who was the first to quantify the negative impact of public disclosure on fund performance. We use a fund-time panel of fund flows and performance to study how the impact of 13F filing requirements affects the sensitivity of future performance to past fund flows.…”

Section: Introductionmentioning

confidence: 99%

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Does Portfolio Disclosure Make Money Smarter?

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confidence: 67%

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“…On the one hand, some researchers used data set to study the mutual fund performance of a country or some countries (Ferreira et al, 2013;Gallagher et al, 2017;Zhou et al, 2019b). On the other hand, some researchers studied the factors affecting fund performance (Marshall & Tang, 2011;Shi, 2017;Kenchington et al, 2019). Besides, some researchers used data envelopment analysis (DEA) to evaluate fund performance (Tsolas & Charles, 2015;Galagedera et al, 2018;Galagedera, 2019).…”

Section: Introductionmentioning

confidence: 99%

Bibliometric overview and retrospective analysis of fund performance research between 1966 and 2019

Zhou

Luo

Fang

et al. 2020

Economic Research-Ekonomska Istraživanja

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Fund performance has been a hot topic in the financial research area, fair and correct evaluation of fund performance is of great significance for fund investors and companies. However, most of the relevant publications do not have any retrospective analysis of this topic in terms of knowledge domain to show its development trends and research concerns. To address this issue, two effective bibliometric tools namely Citespace II (The 5.3.R4 Edition) and SciMat are used to analyze the knowledge domain of this field in this paper. We have analyzed 979 articles related to fund performance from Web of Science between 1966 and 2019 (July), the analysis content includes the current status, collaboration network, co-citation network, and emerging trends of fund performance research, then we have derived the following desired conclusions: (1) In the last twenty years, there was a significant increase in the publication and citation numbers of fund performance research; especially, the relative research has become interdisciplinary and internationalized. (2) "Mutual Fund Performance", "Fund Return", "Investment Performance", and "Portfolio Selection" are the hottest topics in the fund performance research. (3) "Small Fund" and "Investor Reaction" are the two emerging trends in the fund performance research. To sum up, there are two main contributions in this paper: First, we provide a full bibliometric analysis about the fund performance research. Second, we make the further development of fund performance research easier and more clearly to show the directions to learn and study for beginners.

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Portfolio concentration and fund manager performance

2019

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This research examines the relationships among portfolio concentration, fund manager skills, and fund performance in Taiwan's equity mutual fund industry, yielding several empirical findings as follows. First, after controlling for other factors, concentrated equity funds tend to have smaller net asset values, larger fund flows, higher turnover rates, and a younger age and prevail in smaller fund families. Second, concentrated fund managers buy and sell stocks more smartly based on economic trends or market factors than do diversified fund managers, i.e., they have better market‐timing abilities. Third, only partial evidence supports the premise that concentrated equity funds have better next‐quarter risk‐adjusted performances than do diversified ones, as these fund managers' skills positively correlate to risk‐adjusted fund performance. Fourth, fund managers who have better stock‐picking abilities and intensively invest in certain industries generally exhibit better Carhart's alpha in the next quarter than do other fund managers. Fifth, fund managers' stock‐picking abilities more closely relate to long‐term performance than do their market‐timing abilities. Lastly, positive performance persistence is much stronger than negative performance persistence, but concentrated funds do not have stronger performance persistence than do diversified funds.

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The impact of portfolio disclosure on hedge fund performance

Cited by 39 publications

References 34 publications

Does Portfolio Disclosure Make Money Smarter?

Does Portfolio Disclosure Make Money Smarter?

Bibliometric overview and retrospective analysis of fund performance research between 1966 and 2019

Portfolio concentration and fund manager performance

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