Abstract

http://ssrn.com/abstract=1763225
 
 

References (39)



 
 

Citations (5)



 


 



Do Hedge Funds Manipulate Stock Prices?


Itzhak Ben-David


Ohio State University - Fisher College of Business, Finance Department; National Bureau of Economic Research (NBER)

Francesco A. Franzoni


University of Lugano; Swiss Finance Institute

Augustin Landier


Toulouse School of Economics

Rabih Moussawi


University of Pennsylvania - The Wharton School

August 31, 2012

Journal of Finance, Forthcoming
Charles A. Dice Center Working Paper No. 2011-005
Fisher College of Business Working Paper No. 2011-03-005
Swiss Finance Institute Research Paper No. 11-53
AFA 2013 San Diego Meetings Paper

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.

Number of Pages in PDF File: 80

Keywords: Hedge fund, Manipulation, Stock, Reporting, Manager, Monthly returns, Competition, Inflation, Fraud, Performance reporting, Investors, Returns

JEL Classification: G12, G14, G23, G24

Accepted Paper Series


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Date posted: February 17, 2011 ; Last revised: September 16, 2012

Suggested Citation

Ben-David, Itzhak and Franzoni, Francesco A. and Landier, Augustin and Moussawi, Rabih, Do Hedge Funds Manipulate Stock Prices? (August 31, 2012). Journal of Finance, Forthcoming; Charles A. Dice Center Working Paper No. 2011-005; Fisher College of Business Working Paper No. 2011-03-005; Swiss Finance Institute Research Paper No. 11-53; AFA 2013 San Diego Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1763225 or http://dx.doi.org/10.2139/ssrn.1763225

Contact Information

Itzhak Ben-David (Contact Author)
Ohio State University - Fisher College of Business, Finance Department ( email )
2100 Neil Avenue
Fisher 700D
Columbus, OH 43210-1144
United States
773 988 1353 (Phone)
HOME PAGE: http://fisher.osu.edu/fin/faculty/Ben-David/index.htm

National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
HOME PAGE: http://fisher.osu.edu/fin/faculty/Ben-David/
Francesco A. Franzoni
University of Lugano ( email ) ( email )
University of Lugano
Via G. Buffi 13
Lugano, 6904
Switzerland
Swiss Finance Institute ( email ) ( email )
University of Lugano
Via G. Buffi 13
Lugano, 6904
Switzerland
Augustin Landier
Toulouse School of Economics ( email )
Place Anatole-France
Toulouse Cedex, F-31042
France
Rabih Moussawi
University of Pennsylvania - The Wharton School ( email )
3733 Spruce Street
216 Vance Hall
Philadelphia, PA 19104-6365
United States
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