Review of Financial Studies Vol. 25 No. 9 2012
Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud
Abstract
[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.]
- Volume
- 25
- Issue
- 9
- Pages
- 2673-2702
- Sources
- bibtex:phds-export.bib