Predicting fraud by investment managers

• 成果类型: Article
• 署名作者: Dimmock, Stephen G.; Gerken, William C.
• 署名单位: Nanyang Technological University; Auburn University System; Auburn University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.01.002
• 发表日期: 2012
• 页码: 153-173
• 关键词: Fraud; Investment fraud; Operational risk; SEC; disclosure; Form ADV

摘要

We test the predictability of investment fraud using a panel of mandatory disclosures filed with the SEC. We find that disclosures related to past regulatory and legal violations, conflicts of interest, and monitoring have significant power to predict fraud. Avoiding the 5% of firms with the highest ex ante predicted fraud risk would allow an investor to avoid 29% of fraud cases and over 40% of the total dollar losses from fraud. We find no evidence that investors receive compensation for fraud risk through superior performance or lower fees. We examine the barriers to implementing fraud prediction models and suggest changes to the SEC's data access policies that could benefit investors. (C) 2012 Elsevier B.V. All rights reserved.