EconPapers    
Economics at your fingertips  
 

D’un indice de détection d’anomalies à l’usage des investisseurs

Philippe Bernard, Najat El Mekkaoui (), Bertrand Maillet and Alejandro Modesto

Revue économique, 2016, vol. 67, issue 5, 1037-1056

Abstract: Fraud detection is a key issue for investors and financial authorities. The Ponzi scheme organized by Bernard Madoff is a magnified illustration of a fraud, always possible when well-orchestrated. Traditional methods to detect fraud require costly and lengthy investigations that involve complex financial and legal knowledge and high skilled analysts. We pursue and generalize here the intuition of Billio et al. [2015], who suggest the use of a performance measure?called GUN?to construct a fraud detection index. To illustrate the methodology and to demonstrate its usefulness, first, we analyze the case of Madoff. Then, in a universe of equity mutual funds marketable in France from several international markets, we secondly highlight the number of funds with an apparent anomalous behavior. The proposed alert system reveals dozens of funds that would be interesting to investigate. Classification JEL : C31, C52, G32.

JEL-codes: C31 C52 G32 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=RECO_675_1037 (application/pdf)
http://www.cairn.info/revue-economique-2016-5-page-1037.htm (text/html)
restricted

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cai:recosp:reco_675_1037

Access Statistics for this article

More articles in Revue économique from Presses de Sciences-Po
Series data maintained by Jean-Baptiste de Vathaire ().

 
Page updated 2017-10-22
Handle: RePEc:cai:recosp:reco_675_1037