Do Hedge Funds Manage Their Reported Returns?
研究发现，激励和机会更大的对冲基金在12月的回报显著高于其他月份，且高于激励较小的基金，表明它们通过操纵回报来获取更高费用。
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.