Consistent with the argument that portfolio disclosure reveals "trade secrets", a difference-in-differences estimation suggests that there is a drop in fund performance after a hedge fund begins filing Form 13F, as well as an increase in return correlations with other funds in the same...

We find that hedge funds’ ETF option positions predict cross-sectional differences in the future volatility of underlying ETFs. The predictive power is strongest for straddle positions and non-equity ETFs. A tracking portfolio of straddles based on funds’ straddle positions earns quarterly...

We measure a stock's exposure to fire sale risk through its ownership links to equity mutual funds that experience outflows during periods of systematic outflows from the fund industry. We find that more exposed stocks earn higher average returns: a portfolio that buys (shorts) stocks with the...