Abstract

http://ssrn.com/abstract=1569626
 
 

Citations (4)



 


 



Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud


Nicolas P. B. Bollen


Vanderbilt University - Finance

Veronika Krepely Pool


Indiana University - Kelley School of Business - 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

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Date posted: March 15, 2010 ; Last revised: May 13, 2014

Suggested Citation

Bollen, 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

Contact Information

Nicolas P.B. Bollen (Contact Author)
Vanderbilt University - Finance ( email )
401 21st Avenue South
Nashville, TN 37203
United States
HOME PAGE: http://mba.vanderbilt.edu/faculty/nbollen.cfm

Veronika Krepely Pool
Indiana University - Kelley School of Business - Department of Finance ( email )
1309 E. 10th St.
Bloomington, IN 47405
United States

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