The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution
Abstract
We find a significant discontinuity in the pooled distribution of monthly hedge fund returns: The number of small gains far exceeds the number of small losses. The discontinuity is present in live and defunct funds, and funds of all ages, suggesting that it is not caused by database biases. The discontinuity is absent in the 3 months culminating in an audit, suggesting it is not attributable to skillful loss avoidance. The discontinuity disappears when using bimonthly returns, indicating a reversal in fund performance following small gains. This result suggests that the discontinuity is caused at least in part by temporarily overstated returns.
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Citations
Cites
Shleifer, A., & Vishny, R. W. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03807.x · Cited by 5,291
Mutual Fund Flows and Performance in Rational Markets
Berk, J. B., & Green, R. C. (2004) · Journal of Political Economy · doi:10.1086/424739 · Cited by 2,083
Point Shaving: Corruption in NCAA Basketball
Wolfers, J. (2006) · American Economic Review · doi:10.1257/000282806777211757 · Cited by 166
Cited by
Liang, H., Sun, L., & Teo, M. (2022) · Review of Finance · doi:10.1093/rof/rfac028 · Cited by 167
Metadata
- Authors
- BOLLEN, N. P. B., & POOL, V. K.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2009-09-28
- Volume
- 64
- Issue
- 5
- Pages
- 2257-2288
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3125098629
- Cited by
- 303
- References
- 3
- FWCI
- 39.22
- Type
- journal article
- Language
- en
- Open access
- closed
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- BOLLEN, N. P. B., & POOL, V. K. (2009). Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2009.01500.x
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Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
