Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud
Recent cases of hedge fund fraud have caused large losses for investors and have fueled the debate regarding the ability of regulators to oversee the industry. This article proposes a set of performance flags, based on suspicious patterns in returns, as indicators of a heightened risk of fraud. We c...
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| Veröffentlicht in: | The Review of financial studies 2012-09, Vol.25 (9), p.2673-2702 |
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| container_end_page | 2702 |
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| container_title | The Review of financial studies |
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| creator | Bollen, Nicolas P. B. Pool, Veronika K. |
| description | Recent cases of hedge fund fraud have caused large losses for investors and have fueled the debate regarding the ability of regulators to oversee the industry. This article proposes a set of performance flags, based on suspicious patterns in returns, as indicators of a heightened risk of fraud. We collect a sample of hedge funds charged with legal or regulatory violations and find that funds charged with misappropriation, overvaluation, misrepresentation, or Ponzi schemes trigger the performance flags at a higher frequency than other funds. |
| doi_str_mv | 10.1093/rfs/hhs085 |
| format | Article |
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| fulltext | fulltext |
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| ispartof | The Review of financial studies, 2012-09, Vol.25 (9), p.2673-2702 |
| issn | 0893-9454 1465-7368 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1230587756 |
| source | Business Source Complete; JSTOR Archive Collection A-Z Listing; Oxford University Press Journals All Titles (1996-Current) |
| subjects | Asset management Capital management Financial regulation Financial risks Fraud Hedge funds Hedging Investment returns Investment strategies Investment trusts Investors Operational risk Portfolio management Portfolio performance Pyramid schemes Rates of return Regulation Securities fraud Securities regulations Security management Studies |
| title | Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud |
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