Discussion

1
Discussion

• Finding Bernie Madoff Detecting Fraud by
  Investment Managers
• Philip Hamill

2
Where is Bernie?

• DG 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 Caharts alpha lagged/cumulative
  performance important?
• CCO CFA variable?