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File name: SSRN-id1968958. ; Size: 483K
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Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud
Nicolas P. B. Bollen
Vanderbilt University - Finance
Veronika Krepely Pool
Indiana University Bloomington - Department of Finance
November 21, 2011
Abstract:
Recent cases of hedge fund fraud have caused large losses for investors and have fueled the debate regarding the ability of regulators to oversee the industry. This paper proposes a set of performance flags, based on suspicious patterns in returns, as indicators of a heightened risk of fraud. We collect a sample of hedge funds charged with legal or regulatory violations and find that funds charged with misappropriation, overvaluation, misrepresentation, or Ponzi schemes trigger the performance flags at a higher frequency than other funds.
Number of Pages in PDF File: 44
Keywords: hedge funds, fraud, SEC
JEL Classification: G23, G28
working papers series
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Date posted: March 15, 2010
; Last revised: November 17, 2012
Suggested CitationBollen, Nicolas P. B. and Pool, Veronika Krepely, Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud (November 21, 2011). Available at SSRN: http://ssrn.com/abstract=1569626 or http://dx.doi.org/10.2139/ssrn.1569626
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