Matti Suominen

Francesco Franzoni2
Michela Verado1
Jay Ritter1
2Francesco Franzoni
1Michela Verado
1Jay Ritter
Learn More
  • R David Mclean, Luxembourg Asset, Management Conference, Turan Bali, Shane Corwin, Mark Bradshaw +22 others
  • 2012
We study the out-of-sample and post-publication return-predictability of 82 characteristics that are identified in published academic studies. The average out-of-sample decay due to statistical bias is about 10%, but not statistically different from zero. The average post-publication decay, which we attribute to both statistical bias and price pressure from(More)
We find evidence that hedge funds significantly manipulate stock prices on critical reporting dates. We document that stocks held by hedge funds experience higher returns on the last day of the quarter, followed by a reversal the next day. For example, the stocks in the top quartile of hedge fund holdings exhibit abnormal returns of 30 basis points on the(More)
  • 1