Arbeitspapier
The valuation of hedge funds' equity positions
We provide evidence on the valuation of equity positions by hedge fund advisors. Reported valuations deviate from standard valuations based on closing prices from CRSP for roughly seven percent of the positions. These deviations are economically significant for about 25 percent of the hedge fund advisors. Advisors with more pronounced valuation deviations show a stronger discontinuity in their reported returns around zero, manage a higher fraction of potentially fraudulent funds, show smoother reported returns, self-report to commercial databases, and are domiciled in offshore locations. Additional tests suggest that the documented equity valuation deviations respond to past performance.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFR Working Paper ; No. 10-15 [rev.]
- Klassifikation
-
Wirtschaft
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
hedge funds
fair value
return smoothing
valuation manipulation
fraud
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cici, Gjergji
Kempf, Alexander
Pütz, Alexander
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Cici, Gjergji
- Kempf, Alexander
- Pütz, Alexander
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2011
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