Do Hedge Funds Manipulate Stock Prices?

• 成果类型: Article
• 署名作者: Ben-David, Itzhak; Franzoni, Francesco; Landier, Augustin; Moussawi, Rabih
• 署名单位: University System of Ohio; Ohio State University; National Bureau of Economic Research; Universita della Svizzera Italiana; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12062
• 发表日期: 2013
• 页码: 2383-2434
• 关键词: returns; performance; illiquidity; LIMITS; TAPE

摘要

We provide evidence suggesting that some hedge funds manipulate stock prices on critical reporting dates. Stocks in the top quartile of hedge fund holdings exhibit abnormal returns of 0.30% on the last day of the quarter and a reversal of 0.25% on the following day. A significant part of the return is earned during the last minutes of trading. Analysis of intraday volume and order imbalance provides further evidence consistent with manipulation. These patterns are stronger for funds that have higher incentives to improve their ranking relative to their peers.