JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS Vol. 51, No. 3, June 2016, pp. 1013–1037

對沖基金的股票頭寸估值

作者：Gjergji Cici (College of William and Mary - Mason School of Business), Alexander Kempf , Alexander Puetz (University of Cologne - Department of Finance)

摘要：我們提供了關于對沖基金對股票頭寸估值的證據。研究表明，約有7%樣本頭寸的報告估值偏離了基于證券價格研究中心（CRSP）收盤價的标準價值。股票估值的偏離與标的股票的流動性不足及價格波動性呈正相關關系。這種偏離會對股票的過去表現做出反應，并且在顧問開始向商業數據庫報告後變得更加激烈。此外，估值偏差更大的顧問，其報告收益在0左右時表現出更強的不連續性，他們還管理更高比例的潛在欺詐性資金、報告更平滑的收益，以及在十二月的報告中更易展現突然上升的收益。

The Valuation of Hedge Funds’ Equity Positions

Gjergji Cici (College of William and Mary - Mason School of Business), Alexander Kempf , Alexander Puetz (University of Cologne - Department of Finance)

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.

原文鍊接：https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/the-valuation-of-hedge-funds-equity-positions/65922BF3DCF0F47D580DDC8404359E74

翻譯：陳然