Do Hedge Funds Manipulate Stock Prices?

Ben-David, Itzhak, Franzoni, Francesco, Landier, Augustin and Moussawi, Rabih (2013) Do Hedge Funds Manipulate Stock Prices? Journal of Finance, 68 (6). pp. 2383-2434.

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Official URL: http://tse-fr.eu/pub/27665

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.

Item Type: Article
Language: English
Date: December 2013
Refereed: Yes
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 09 Jul 2014 17:39
Last Modified: 07 Mar 2018 13:22
OAI ID: oai:tse-fr.eu:27665
URI: http://publications.ut-capitole.fr/id/eprint/15747

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