Do Hedge Funds Manipulate Stock Prices?

被引：87

作者：

Ben-David, Itzhak ^{[1
,2
]}

Franzoni, Francesco ^{[3
]}

Landier, Augustin ^{[4
]}

Moussawi, Rabih ^{[5
]}

机构：

[1] Ohio State Univ, Fisher Coll Business, Columbus, OH 43210 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Univ Lugano, Lugano, Switzerland

[4] Toulouse Sch Econ, Toulouse, France

[5] Univ Penn, Wharton Sch, Wharton Res Data Serv, Philadelphia, PA 19104 USA

来源：

JOURNAL OF FINANCE | 2013年 / 68卷 / 06期

关键词：

RETURNS; PERFORMANCE; ILLIQUIDITY; LIMITS; TAPE;

D O I：

10.1111/jofi.12062

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：2383 / 2434

页数：52

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