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

对冲基金的股票头寸估值

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：我们提供了关于对冲基金对股票头寸估值的证据。研究表明，约有7%样本头寸的报告估值偏离了基于证券价格研究中心（CRSP）收盘价的标准价值。股票估值的偏离与标的股票的流动性不足及价格波动性呈正相关关系。这种偏离会对股票的过去表现做出反应，并且在顾问开始向商业数据库报告后变得更加激烈。此外，估值偏差更大的顾问，其报告收益在0左右时表现出更强的不连续性，他们还管理更高比例的潜在欺诈性资金、报告更平滑的收益，以及在十二月的报告中更易展现突然上升的收益。

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.

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

翻译：陈然