Files and links (1)
SubmittedOpen Access (License Unspecified), Open
Journal article
Do Hedge Funds Manage Their Reported Returns?
The Review of financial studies, v 24(10), pp 3281-3320
01 Oct 2011
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
For funds with high incentives and more opportunities to inflate returns, we find that (i) returns during December are significantly higher than returns during the rest of the year, even after controlling for risk in both the time series and the cross-section; and (ii) this December spike is greater than for funds with lower incentives and fewer opportunities to inflate returns. These results suggest that hedge funds manage their returns upward in an opportunistic fashion in order to earn higher fees. Finally, we find strong evidence that funds inflate December returns by underreporting returns earlier in the year but only weak evidence that funds borrow from January returns in the following year.
Metrics
Details
- Title
- Do Hedge Funds Manage Their Reported Returns?
- Creators
- Vikas Agarwal - Georgia State UniversityNaveen D. Daniel - Drexel UniversityNarayan Y. Naik - London Business School
- Publication Details
- The Review of financial studies, v 24(10), pp 3281-3320
- Publisher
- Oxford Univ Press
- Number of pages
- 40
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Finance
- Web of Science ID
- WOS:000294997800003
- Scopus ID
- 2-s2.0-80053007294
- Other Identifier
- 991019167831604721
UN Sustainable Development Goals (SDGs)
This publication has contributed to the advancement of the following goals:
InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics