Abstract

http://ssrn.com/abstract=937990
 
 

References (38)



 
 

Citations (33)



 


 



Conditional Return Smoothing in the Hedge Fund Industry


Nicolas P. B. Bollen


Vanderbilt University - Finance

Veronika Krepely Pool


Indiana University - Kelley School of Business - Department of Finance


Journal of Financial and Quantitative Analysis (JFQA), Forthcoming

Abstract:     
We show that if true returns are independently distributed, and a manager fully reports gains but delays reporting losses, then reported returns will feature conditional serial correlation. We use conditional serial correlation as a measure of conditional return smoothing. We estimate conditional serial correlation in a large sample of hedge funds. We find that the probability of observing conditional serial correlation is related to the volatility and magnitude of investor cash flows, consistent with conditional return smoothing in response to the risk of capital flight. We also present evidence that conditional serial correlation is a leading indicator of fraud.

Number of Pages in PDF File: 53

Keywords: Hedge funds, fraud

JEL Classification: G23, G28

Accepted Paper Series


Download This Paper

Date posted: October 17, 2006  

Suggested Citation

Bollen, Nicolas P. B. and Pool, Veronika Krepely, Conditional Return Smoothing in the Hedge Fund Industry. Journal of Financial and Quantitative Analysis (JFQA), Forthcoming. Available at SSRN: http://ssrn.com/abstract=937990

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

Feedback to SSRN


Paper statistics
Abstract Views: 2,519
Downloads: 837
Download Rank: 14,471
References:  38
Citations:  33

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.407 seconds