We provide evidence on the valuation of equity positions by hedge fund advisors. Reported valuations deviate from standard valuations based on closing prices from CRSP for roughly seven percent of the positions. These deviations are economically significant for about 25 percent of the hedge fund...

We construct a risk adjusted version of return reversal within the US stock universe, which we name idiosyncratic Z score (IZ). Stock ranking in the IZ portfolios is based on the ratio of individual stocks' idiosyncratic return and its idiosyncratic risk. We link IZ with the stocks' demand...