Universität zu Köln

Cici, Gjergji, Kempf, Alexander and Puetz, Alexander (2016). The Valuation of Hedge Funds' Equity Positions. J. Financ. Quant. Anal., 51 (3). S. 1013 - 1038. NEW YORK: CAMBRIDGE UNIV PRESS. ISSN 1756-6916

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Abstract

We provide evidence on the valuation of equity positions by hedge funds. Reported valuations deviate from standard valuations based on closing prices from the Center for Research in Security Prices for roughly 7% of the positions. These equity valuation deviations are positively related to illiquidity and price volatility of the underlying stocks. They respond to past performance and intensify after an advisor starts reporting to a commercial database. Furthermore, advisors with more valuation deviations show a stronger discontinuity in their reported returns around 0, manage a higher fraction of potentially fraudulent funds, report smoother returns, and exhibit an upward spike in their December reported returns.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Cici, Gjergji UNSPECIFIED UNSPECIFIED UNSPECIFIED Kempf, Alexander UNSPECIFIED UNSPECIFIED UNSPECIFIED Puetz, Alexander UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-272742
DOI:	10.1017/S0022109016000351
Journal or Publication Title:	J. Financ. Quant. Anal.
Volume:	51
Number:	3
Page Range:	S. 1013 - 1038
Date:	2016
Publisher:	CAMBRIDGE UNIV PRESS
Place of Publication:	NEW YORK
ISSN:	1756-6916
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language REPORTED RETURNS; STOCK RETURNS; RISK; ILLIQUIDITY; DATABASES; BIASES Multiple languages Business, Finance; Economics Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/27274