Référence

Itzhak Ben-David, Francesco Franzoni, Augustin Landier et Rabih Moussawi, « Do Hedge Funds Manipulate Stock Prices? », The Journal of Finance, vol. 68, n° 6, décembre 2013, p. 2383–2434.

Résumé

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.

Partenaire de recherche

Paul Woolley Research Initiative

Thème de recherche

Market Frictions and Asset prices

Remplace

Itzhak Ben-David, Francesco Franzoni, Augustin Landier et Rabih Moussawi, « Do Hedge Funds Manipulate Stock Prices? », IDEI Working Paper, n° 628, février 2011.