Hedge fund ownership and voluntary disclosure

Bok Baik (), Jin-Mo Kim (), Kyonghee Kim () and Sukesh Patro ()
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Bok Baik: Seoul National University
Jin-Mo Kim: Rutgers University
Kyonghee Kim: Michigan State University
Sukesh Patro: Michigan State University

Review of Quantitative Finance and Accounting, 2020, vol. 54, issue 3, No 4, 877-910

Abstract: Abstract Using 13F filings from 1996 to 2011, we document that hedge fund holdings are negatively associated with the subsequent frequency of portfolio firms’ voluntary disclosure. This is opposite to the positive association documented in earlier studies for overall institutional ownership as well as for non-hedge fund ownership in our sample. The negative association is more pronounced for hedge fund ownership with short-term investment horizons. Tests using measures of hedge fund influence suggest that hedge fund ownership impacts voluntary disclosure as opposed to hedge funds selecting stocks with subsequent declines in disclosure. We also find that the stocks that decrease their voluntary disclosure subsequent to increases in hedge fund holdings earn positive abnormal returns. Overall, our findings suggest that the impact of hedge funds on firm voluntary disclosure policy differs from that of other institutional investors and potentially contributes to hedge fund profitability.

Keywords: Institutional investors; Hedge fund ownership; Management forecasts; Analyst forecasts (search for similar items in EconPapers)
JEL-codes: G14 M41 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s11156-019-00810-x

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