Do Hedge Funds Manipulate Stock Prices?
研究发现，部分对冲基金在季度末报告日操纵股票价格，持仓前四分之一的股票在季度最后一天有0.30%的异常收益，次日反转0.25%，且收益集中在交易最后几分钟。
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.