Gjergji Cici and his coauthors Alexander Kempf and Alexander Puetz (both from University of Cologne) recently had their paper "The Valuation of Hedge Funds’ Equity Positions" accepted for publication in the Journal of Financial and Quantitative Analysis.
Abstract: “We provide evidence on the valuation of equity positions by hedge funds. Reported valuations deviate from standard valuations based on closing prices from CRSP for roughly seven percent of the positions. These equity valuation deviations are positively related to illiquidity and price volatility of the underlying stocks. They respond to past performance and intensify after an advisor starts reporting to a commercial database. Furthermore, advisors with more valuation deviations show a stronger discontinuity in their reported returns around zero, manage a higher fraction of potentially fraudulent funds, report smoother returns, and exhibit an upward spike in their December reported returns.”