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Discussion

Discussion. Finding Bernie Madoff: Detecting Fraud by Investment Managers Philip Hamill. Where is Bernie?. D&G in 98 th Percentile for felony risk. Federal Correction Complex, Butler, North Carolina, Prisoner Number #61727-054. Projected release date: 14 th November 2139.

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Discussion

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  1. Discussion Finding Bernie Madoff: Detecting Fraud by Investment Managers Philip Hamill

  2. Where is Bernie? • D&G in 98th Percentile for felony risk. • Federal Correction Complex, Butler, North Carolina, Prisoner Number #61727-054. • Projected release date: 14th November 2139

  3. Is this research interesting? • Yes. • Is this research Important? • YES! – significant policy implications • Fund Management literature focuses on performance. • Limited literature on predicting fraud & other operational risks.

  4. Can the predictive power be improved? • Gil-Bazo & Ruiz-Verdú (2008) JEBO: High performance lower fees. • Gil-Bazo & Ruiz-Verdú (2009)JF: (-) relationship between fees & risk-adjusted performance!!! • Chen et al (2004) AER: Fund size, performance, liquidity and organisational structure. • Use Cahart’s alpha – lagged/cumulative performance important? • CCO CFA variable?

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