Conditional Return Smoothing in the Hedge Fund Industry

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Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution (2009, unknown): “Bollen and Pool (2006) conjecture that a manager would be more likely to smooth losses than gains, resulting in greater serial correlation when funds perform poorly.”
The Liquidity Risk of Liquid Hedge Funds (2011, background): “See Getmansky, Lo, and Makarov (2004) and Bollen and Poole (2008).”
Predicting Fraud by Investment Managers (2012, background): “Bollen and Pool (2010) build on earlier studies of hedge funds’ manipulation of reported returns [Bollen and Pool (2008); Bollen and Pool (2009); and Straumann (2009)] and find that suspicious return patterns can predict fraud charges.”
How Smart are the Smart Guys? A Unique View from Hedge Fund Stock Holdings (2009, unknown): “Third, Liang (2000, 2003) finds that reported returns may vary for the same hedge fund in different datasets, and Bollen and Pool (2008) and Agarwal, Daniel, and Naik (2007) find evidence that some hedge funds systematically manipulate returns.”