Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud
研究提出基于回报可疑模式的绩效标志，用于识别欺诈风险较高的对冲基金，发现被指控挪用、高估、虚假陈述或庞氏骗局的基金更易触发这些标志。
Recent cases of hedge fund fraud have caused large losses for investors and have fueled the debate regarding the ability of regulators to oversee the industry. This article proposes a set of performance flags, based on suspicious patterns in returns, as indicators of a heightened risk of fraud. We collect a sample of hedge funds charged with legal or regulatory violations and find that funds charged with misappropriation, overvaluation, misrepresentation, or Ponzi schemes trigger the performance flags at a higher frequency than other funds. The Author 2012. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.