The Valuation of Hedge Funds’ Equity Positions
研究发现对冲基金报告的股票估值与标准估值存在约7%的偏差，偏差与股票流动性差和价格波动大正相关，且与基金业绩、报告行为及潜在欺诈风险有关。
Abstract We provide evidence on the valuation of equity positions by hedge funds. Reported valuations deviate from standard valuations based on closing prices from the Center for Research in Security Prices for roughly 7% of the positions. These equity valuation deviations are positively related to illiquidity and price volatility of the underlying stocks. They respond to past performance and intensify after an advisor starts reporting to a commercial database. Furthermore, advisors with more valuation deviations show a stronger discontinuity in their reported returns around 0, manage a higher fraction of potentially fraudulent funds, report smoother returns, and exhibit an upward spike in their December reported returns.