Posted: 10 Oct 2002
Date Written: 2002
It is mysterious that the same hedge fund may report different performance measures in different places. This paper explores why it is the case. We find that auditing plays an important role in explaining this difference. Due to the private nature, a significant amount of hedge funds are not effectively audited. Especially, defunct funds are less effectively audited than live funds. Empirical results show that audited funds have much less return discrepancy than non-audited funds. There is a positive correlation between the auditing variable and fund size. Large funds tend to be audited while small funds tend not to be. In addition, those funds that are listed on exchanges, fund of funds, funds with both domestic and foreign investors, funds open to the public, funds invested in a single industrial sector, and unleveled funds have less return discrepancy than the other funds.
Notes: This is a description of the paper and not the actual abstract.
Keywords: hedge funds, auditing, return accuracy
JEL Classification: M41, M49, G23
Suggested Citation: Suggested Citation
Liang, Bing, Hedge Fund Returns: Auditing and Accuracy (2002). Available at SSRN: https://ssrn.com/abstract=321720