The Journal of Finance · 2013 · 149 citations · 31 references
BusinessEconomicsFinanceAsset PricingFinancial EconomicsFinancial MarketsBehavioral Asset PricingCapital MarketsHedge FundsInvestor SentimentMarket ManipulationStock MarketsHedge Fund ReportingHedge Fund ReturnsImbalancePrice ReversalsQuartile Performance Ranking
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.
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