Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud

• 成果类型: Article
• 署名作者: Bollen, Nicolas P. B.; Pool, Veronika K.
• 署名单位: Vanderbilt University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs085
• 发表日期: 2012
• 页码: 2673
• 关键词: Operational risk

摘要

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.