We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly … available hedge fund databases. Tracking changes to statements of historical performance recorded at different points in time … performance histories significantly and predictably underperform those that have never revised, suggesting that unreliable …

We use a comprehensive dataset of Funds-of-Hedge-Funds (FoFs) to investigate performance, risk and capital formation in … superior performance over time. In keeping with this implication, we provide evidence that even successful hedge funds have … experienced a recent, dramatic decline in risk-adjusted performance. …

funds, this paper finds evidence suggesting that hedge fund investors rationally anticipate future hedge fund performance … forecasting power for increases (decreases) in hedge fund performance, over and above other well-known forecasting variables. This … information in investor demand co-exists with the presence of capacity constraints in hedge fund returns, confirming two main …