We use a novel database to study the timeliness of hedge fund managers' voluntary disclosures of monthly fund returns. We show that funds disclose returns at a much slower rate when performance is poor. Funds often release the returns of two or more months together in clusters. These clusters...

We use a novel database to study timeliness of hedge-fund monthly performance disclosures. Managers engage in strategic timing: poor monthly returns are reported with delay, sometimes clustered with stronger subsequent performance, suggestive of ‘performance smoothing'. We posit that...