Do Hedge Funds Manipulate Stock Prices?

Itzhak Ben‐david, Francesco Franzoni, Augustin Landier and Rabih Moussawi
Authors registered in the RePEc Author Service: Itzhak Ben-David

Journal of Finance, 2013, vol. 68, issue 6, 2383-2434

Abstract: 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.

Date: 2013
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Citations: View citations in EconPapers (43)

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https://doi.org/10.1111/jofi.12062

Related works:
Working Paper: Do Hedge Funds Manipulate Stock Prices? (2011)
Working Paper: Do Hedge Funds Manipulate Stock Prices? (2011)
Working Paper: Do Hedge Funds Manipulate Stock Prices? (2011)
Working Paper: Do Hedge Funds Manipulate Stock Prices? (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:68:y:2013:i:6:p:2383-2434

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