Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/100279
Title: Predicting fraud by investment managers
Authors: Dimmock, Stephen G.
Gerken, William Christopher
Keywords: DRNTU::Business::Finance::Investments
Issue Date: 2012
Source: Dimmock, S. G., & Gerken, W. C. (2012). Predicting Fraud by Investment Managers. Journal of Financial Economics, 105(1), 153-173.
Series/Report no.: Journal of financial economics
Abstract: We test the predictability of investment fraud using a panel of mandatory disclosures filed with the SEC. We find that disclosures related to past regulatory and legal violations, conflicts of interest, and monitoring have significant power to predict fraud. Avoiding the 5% of firms with the highest ex ante predicted fraud risk would allow an investor to avoid 29% of fraud cases and over 40% of the total dollar losses from fraud. We find no evidence that investors receive compensation for fraud risk through superior performance or lower fees. We examine the barriers to implementing fraud prediction models and suggest changes to the SEC's data access policies that could benefit investors.
URI: https://hdl.handle.net/10356/100279
http://hdl.handle.net/10220/17824
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2012.01.002
Rights: © 2012 Elsevier B.V. This is the author created version of a work that has been peer reviewed and accepted for publication by Journal of Financial Economics, Elsevier B.V. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [http://dx.doi.org/10.1016/j.jfineco.2012.01.002].
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:NBS Journal Articles

Files in This Item:
File Description SizeFormat 
Dimmock_Gerken_JFE_2012.pdf
424.31 kBAdobe PDFThumbnail
View/Open

Google ScholarTM

Check

Altmetric


Plumx

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.