Reference

Itzhak Ben-David, Francesco Franzoni, Augustin Landier, and Rabih Moussawi, Do Hedge Funds Manipulate Stock Prices?, The Journal of Finance, vol. 68, n. 6, December 2013, pp. 2383–2434.

Abstract

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.

Research partnership

Paul Woolley Research Initiative

Research theme

Market Frictions and Asset prices

Replaces

Itzhak Ben-David, Francesco Franzoni, Augustin Landier, and Rabih Moussawi, Do Hedge Funds Manipulate Stock Prices?, IDEI Working Paper, n. 628, February 2011.