Hector: Created page with "== Authors of the Article == * Lauren Cohen, ''Harvard Business School; National Bureau of Economic Research (NBER)'' * Dong Lou, ''London School of Economics & Political Scie..."

2017-07-03T21:28:49Z

Created page with "== Authors of the Article == * Lauren Cohen, ''Harvard Business School; National Bureau of Economic Research (NBER)'' * Dong Lou, ''London School of Economics & Political Scie..."

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== Authors of the Article ==
* Lauren Cohen, ''Harvard Business School; National Bureau of Economic Research (NBER)''
* Dong Lou, ''London School of Economics & Political Science (LSE)''
* Christopher J. Malloy, ''Harvard Business School; National Bureau of Economic Research (NBER)''

== Publication Year ==
2016

== Take-aways ==
* Fund managers who have to disclose their holdings one a quarterly basis hide some of their positions using window-dressing (ie. Selling right before the quarter-end snapshot, and re-entering in the position afterward).
* The positions hidden earn abnormal returns: +370bps on the next month (annualized 36%).

== Quotes ==
<blockquote>''"Fund managers, knowing that the snapshot of their quarter-end holdings is mandated to be publicly viewable, solve endogenously as to the quantity and scope of information they choose to reveal through the snapshot"''</blockquote>

<blockquote>''"Mandated portfolio requirements and constraints are not without merit or justification, but we must recognize their onerous nature and the distortion these constraints have on observed behaviour."''</blockquote>

== References ==
* [https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2901494 Cohen, Lou & Malloy, ''Cloaked Trading'']

Cloaked Trading - Revision history

Hector: Created page with "== Authors of the Article == * Lauren Cohen, ''Harvard Business School; National Bureau of Economic Research (NBER)'' * Dong Lou, ''London School of Economics & Political Scie..."