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The study, Do hedge fund managers misreport returns? Evidence from the pooled distribution, found widespread incidents across the industry of "distorting" reports of negative monthly returns, especially among managers investing in illiquid or not-closely-monitored instruments.

Study authors Nicholas Bollen of Vanderbilt University and Veronika Pool of Indiana University found evidence of misreported returns submitted by hedge funds between 1994 and 2005 to the Center for International Securit