Agarwal, Vikas; Fos, Vyacheslav; Jiang, Wei - 2012 - First Version: March, 2009, This Draft: July, 2012
This paper formally analyzes the biases related to self-reporting in hedge fund databases by matching the quarterly equity holdings of a complete list of 13F-filing hedge fund companies to the union of five major commercial databases of self-reporting hedge funds between 1980 and 2008. We find...