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Gerken, William Christopher - 2011

We test the predictability of investment fraud using a panel of mandatory disclosures filed with the SEC. We find that … 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 …

Persistent link: https://www.econbiz.de/10013125592

Fraud Detection and Expected Returns

Beneish, Messod D. - 2014

An accounting-based model has strong out-of-sample power not only to detect fraud, but also to predict cross …

Persistent link: https://www.econbiz.de/10013066697

Mismarking Fraud in Mutual Funds

Atanasov, Vladimir A. - 2020

We study potential fraudulent mismarking of newly purchased odd lot and two classes of round lot positions in structured products. Such mismarking artificially inflates net asset values and overstates cumulative returns. Applied to mutual funds launched after January 2010, a simulation-tested...

Persistent link: https://www.econbiz.de/10012849102

Fraudulent Role of nFTK(2007) in Pension Funds Evaluation

Nagornii, Sergey - 2012

This paper shows that the new financial regulation introduced in 2007 in the Netherlands, the so-called nieuw Financieel Toetsings Kader (nFTK), has several basic flaws. The nFTK evaluation cannot be trusted. The results are misleading and must not be used for policy decisions. 'Funding...

Persistent link: https://www.econbiz.de/10013108955

Finding needles in a haystack : using data analytics to improve fraud prediction

Perols, Johan L.; Bowen, Robert M.; Zimmermann, Carsten; … - In: The accounting review : a publication of the American … 92 (2017) 2, pp. 221-245

Persistent link: https://www.econbiz.de/10011674087

The use of business intelligence and predictive analytics in detecting and managing occupational fraud in Nigerian banks

Nwafor, Chioma N.; Nwafor, Obumneme Z.; Onalo, Chris - In: The journal of operational risk 14 (2019) 3, pp. 95-120

Persistent link: https://www.econbiz.de/10012132748

Does Style-Shifting Activity Predict Performance? Evidence from Hybrid Mutual Funds

Herrmann, Ulf - 2013

This study applies an innovative return-based approach to determine the style-shifting activity of mutual funds. Based on daily returns, we measure style-shifting activity as inter-quarterly changes in the style exposures of a fund. In order to test the robustness of style-shifting activity we...

Persistent link: https://www.econbiz.de/10013091417

Does Style-Shifting Activity Predict Performance? Evidence from Equity Mutual Funds

Herrmann, Ulf - 2018

This study introduces an innovative approach to measuring the “style-shifting activity” (SSA) of mutual funds using daily returns. Applying our new measure to a comprehensive sample of 2631 active US equity mutual funds, we show (i) that SSA predicts future performance, especially for...

Persistent link: https://www.econbiz.de/10012937234

Expected Returns and the Predictability of Equity Lending Fees

Andrews, Spencer - 2022

Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...

Persistent link: https://www.econbiz.de/10013491786

Accounting standard changes and foreign analyst behavior : evidence from China

Wang, Yutao; Hou, Yu; Chen, Xiaolin - In: China journal of accounting research : CJAR 5 (2012) 1, pp. 27-43

This study investigates changes in foreign analyst behavior before and after Chinese New Accounting Standards was implemented during 2007. The empirical results show that after the new accounting standards were implemented, forecast error among foreign analysts decreased in both absolute and...

Persistent link: https://www.econbiz.de/10011824957