Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds
研究发现基金经理在季度末通过最后时刻买入已持有的股票来抬高组合价格，导致基金净值虚增，小盘基金年化涨幅超2%，且操纵程度与业绩激励强度正相关。
ABSTRACT We present evidence that fund managers inflate quarter‐end portfolio prices with last‐minute purchases of stocks already held. The magnitude of price inflation ranges from 0.5 percent per year for large‐cap funds to well over 2 percent for small‐cap funds. We find that the cross section of inflation matches the cross section of incentives from the flow/performance relation, that a surge of trading in the quarter's last minutes coincides with a surge in equity prices, and that the inflation is greatest for the stocks held by funds with the most incentive to inflate, controlling for the stocks' size and performance.