Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution
研究发现月度对冲基金回报的汇总分布存在显著不连续：小额盈利远多于小额亏损。该现象在存续和已清算基金中均存在，但审计前三个月消失，且双月回报中不连续消失，表明部分由暂时性回报虚报导致。
ABSTRACT We find a significant discontinuity in the pooled distribution of monthly hedge fund returns: The number of small gains far exceeds the number of small losses. The discontinuity is present in live and defunct funds, and funds of all ages, suggesting that it is not caused by database biases. The discontinuity is absent in the 3 months culminating in an audit, suggesting it is not attributable to skillful loss avoidance. The discontinuity disappears when using bimonthly returns, indicating a reversal in fund performance following small gains. This result suggests that the discontinuity is caused at least in part by temporarily overstated returns.