Abstract

http://ssrn.com/abstract=891169
 
 

References (84)



 
 

Citations (17)



 


 



Do Hedge Funds Manage Their Reported Returns?


Vikas Agarwal


Georgia State University; University of Cologne - Centre for Financial Research (CFR)

Naveen D. Daniel


Drexel University - Department of Finance

Narayan Y. Naik


London Business School - Institute of Finance and Accounting

November 15, 2010

The Review of Financial Studies, Forthcoming

Abstract:     
For funds with greater incentives and greater opportunities to inflate returns, we find that (i) returns during December are significantly higher than those during the rest of the year even after controlling for risk in both time-series and the cross-section; (ii) this December spike is greater than that for funds with lower incentives and opportunities to inflate returns. These results suggest that hedge funds manage their returns upwards in an opportunistic fashion in order to earn higher fees. Finally, we provide strong evidence that funds inflate December returns by under-reporting returns earlier in the year but only weak evidence that funds borrow from January returns in the following year.

Number of Pages in PDF File: 59

Keywords: Hedge Funds, Incentives, Returns Management, December effect

JEL Classification: G10, G19, G23

Accepted Paper Series


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Date posted: March 16, 2006 ; Last revised: January 8, 2011

Suggested Citation

Agarwal, Vikas and Daniel, Naveen D. and Naik, Narayan Y., Do Hedge Funds Manage Their Reported Returns? (November 15, 2010). The Review of Financial Studies, Forthcoming. Available at SSRN: http://ssrn.com/abstract=891169

Contact Information

Vikas Agarwal (Contact Author)
Georgia State University ( email )
35 Broad Street,
Suite 1221
Atlanta, GA 30303-3083
United States
404-413-7326 (Phone)
404-413-7312 (Fax)
HOME PAGE: http://www.gsu.edu/~fncvaa
University of Cologne - Centre for Financial Research (CFR)
Albertus-Magnus Platz
Cologne, 50923
Germany
Naveen D. Daniel
Drexel University - Department of Finance ( email )
LeBow College of Business
Philadelphia, PA 19104
United States
215-895-5858 (Phone)
215-895-2955 (Fax)
HOME PAGE: http://lebow.drexel.edu/Faculty/DanielN
Narayan Y. Naik
London Business School - Institute of Finance and Accounting ( email )
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
+44 20 7262 5050 (Phone)
+44 20 724 3317 (Fax)
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