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CFR Working Papers, Centre for Financial Research (CFR), Universität Köln >
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http://hdl.handle.net/10419/41388
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| Title: | | Caught in the act: How hedge funds manipulate their equity positions |
| Authors: | | Cici, Gjergji Kempf, Alexander Pütz, Alexander |
| Issue Date: | | 2010 |
| Series/Report no.: | | CFR working paper 10-15 |
| Abstract: | | Using 13F position valuations, we show that hedge fund advisors intentionally mismark their stock positions. We document manipulation even after eliminating issues inherent in the pricing of illiquid securities. Hedge fund advisors mark their positions up (down) following poor (good) performance of their equity holdings. Mismarking is more pronounced for advisors that are audited less frequently; are domiciled in offshore locations; self-report to a commercial database; and report more frequently to investors. Furthermore, equity mismarking is related to some of the reported return patterns documented in previous studies, such as a discontinuity in the distribution of returns around zero and smoothed returns. |
| Is replaced by the following version: | | http://hdl.handle.net/10419/70113 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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| The document was removed on behalf of the author(s)/ the editor(s) on: February 13, 2013 |
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