Are hedge fund managers systematically misreporting? Or not?

• 成果类型: Article
• 署名作者: Jorion, Philippe; Schwarz, Christopher
• 署名单位: University of California System; University of California Irvine
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.10.001
• 发表日期: 2014
• 页码: 311-327
• 关键词: HEDGE FUNDS; Performance evaluation; valuation; RISK

摘要

A discontinuity, or kink, at zero in the hedge fund net return distribution has been interpreted as evidence of managers manipulating returns to avoid showing small losses. Instead, we propose alternative explanations for this phenomenon. In particular, we show that incentive fees can mechanistically create a kink in the net return distribution. This mechanism accounts for almost the entire kink observed in the large, liquid Long-Short Equity style. Furthermore, we show that asset illiquidity and the bounding of yields at zero can generate distribution discontinuities as well. Therefore, we conclude that the observed hedge fund return discontinuities are not direct proof of manipulation. (C) 2013 Elsevier B.V. All rights reserved.