Do Hedge Funds Manipulate Stock Prices?

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.

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Authors:	Ben-David, Itzhak ; Franzoni, Francesco A. ; Landier, Augustin ; Moussawi, Rabih
Subject:	Hedge fund \| Manipulation \| Stock \| Reporting \| Manager \| Monthly returns \| Competition \| Inflation \| Fraud \| Performance reporting \| Investors \| Returns

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Extent:	application/pdf
Series:	Swiss Finance Institute Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 11-53 47 pages
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G23 - Pension Funds; Other Private Financial Institutions ; G24 - Investment Banking; Venture Capital; Brokerage
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010680445