Do Hedge Funds Manipulate Stock Prices?

Itzhak Ben-David, Francesco A. Franzoni, Augustin Landier and Rabih Moussawi
Additional contact information
Francesco A. Franzoni: University of Lugano and Swiss Finance Institute
Rabih Moussawi: University of Pennsylvania - The Wharton School

No 11-53, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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.

Keywords: Hedge fund; Manipulation; Stock; Reporting; Manager; Monthly returns; Competition; Inflation; Fraud; Performance reporting; Investors; Returns (search for similar items in EconPapers)
JEL-codes: G12 G14 G23 G24 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2011-11
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Do Hedge Funds Manipulate Stock Prices? (2013)
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:chf:rpseri:rp1153

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