Madoff: A Riot of Red Flags

Gregoriou, Greg N.; Lhabitant, François‐Serge

doi:10.2139/ssrn.1335639

Cited by 27 publications

(39 citation statements)

References 9 publications

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“…The Madoff affair raises the obvious questions as to why it was not discovered earlier and why investors and regulators missed the various red flags. A number of these points are discussed in Markopoulos (2009) and Gregoriou and Lhabitant (2009). The paper of Clauss, Roncalli and Weisang (2009) complements our work.…”

Section: Introductionsupporting

confidence: 58%

“…However results of the empirical study would have been similar or even worse. Indeed Gregoriou and Lhabitant (2009) note that "it would have been prohibitively expensive using S&P 100 Index options" since they "are much less widely used than S&P 500 Index options". 6 Other examples of split-strike strategies with alternative strikes have been investigated by Clauss, Roncalli and Weisang (2009) but their conclusions are similar.…”

Section: Analysis Of the Empirical Resultsmentioning

confidence: 99%

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Mr. Madoff’s Amazing Returns: An Analysis of the Split-Strike Conversion Strategy

Bernard¹,

Boyle²

2009

JOD

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It is now known that the very impressive investment returns generated by BernieMadoff were based on a sophisticated Ponzi scheme. Madoff claimed to use a splitstrike conversion strategy. This strategy consists of a long equity position plus a long put and a short call. In this paper we examine Madoff's returns and compare his investment performance with what could have been obtained using a split-strike conversion strategy based on the historical data. We also analyze the split-strike strategy in general and derive expressions for the expected return, standard deviation, Sharpe ratio and correlation with the market of this strategy. We find that Madoff's returns lie well outside their theoretical bounds and should have raised suspicions about Madoff's performance.

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Section: Introductionsupporting

confidence: 58%

Section: Analysis Of the Empirical Resultsmentioning

confidence: 99%

Mr. Madoff’s Amazing Returns: An Analysis of the Split-Strike Conversion Strategy

Bernard¹,

Boyle²

2009

JOD

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“…Previous scholars (Jarvis 2000; Gregoriou & Lhabitant 2009;Smith 2010;Drew & Drew 2010) who have studied Ponzi scheme and its activities identified some causes of its collapse. Jarvis (2000) examined the rise and fall of Albania's Pyramid Scheme and observed that, the primary cause of the fall of the scheme was negative comments by press which began to discourage the decisions of new investors/participants thereby, leading to failure on the part of the scheme to meet up with the redemption of existing participants.…”

Section: Reasons For the Failure Of Ponzi Schemesmentioning

confidence: 99%

“…The question however, is what are the factors influencing participation in the scheme? Scholars such as Jarvis (2000), Gregoriou and Lhabitant (2009), Smith (2010), and, Drew and Drew (2010) have not only studied the various cases of failed schemes, but have attempted to identify the motivations behind people's involvement in new ones despite its high level of risk and loss of money invested. Nevertheless, none of the study above was embarked on in Nigeria to the best of our knowledge.…”

Section: Introductionmentioning

confidence: 99%

Factors Influencing Ponzi Scheme Participation in Nigeria

Obamuyi

Iriobe

Afolabi

et al. 2018

ASSRJ

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This study examined the factors influencing Ponzi scheme participation in Nigeria. A multi-stage sampling procedure was used to select 384 participants for the study. Descriptive statistic and One-Way ANOVA was employed to analyze the data. The result of the analysis revealed that friends' recommendation, expected benefits, current economic situations, ease of obtaining funds and the get rich quick syndrome were the most influencing factors on Ponzi scheme participation and these factors were significant with the gender, age, marital status, employment status and educational level at 5% level of significance. The study concluded that ponzi scheme participation was mostly influenced by friend's recommendation, expected benefit, current economic

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“…An example of this literature is Poser (2009). Gregoriou and Lhabitant (2009) focus on the failures of due diligence by investors in the Madoff scandal but do not mention the JP Morgan Chase checking account.…”

Section: Introductionmentioning

confidence: 99%

Estimating JP Morgan Chase's Profits From the Madoff Deposits

Davis¹,

Wilson²

2011

Risk Manage Insurance Review

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JP Morgan Chase had deposits from Bernard L. Madoff's investors totaling $5.5 billion at one point in 2008. The Chase account was supposedly where most of the funds in his Ponzi scheme were deposited. Any large deposit can be a considerable source of profit to a bank. Assuming that the deposits returned the bank's net interest margin and grew at a random geometric rate, this article estimates that JP Morgan Chase generated $435 million in after-tax profits from this very large account over the course of 16 years. With JP Morgan Chase the target of pending lawsuits relating to the Madoff fraud, this article's methodology and results may be of interest to litigants, prosecutors, journalists, and academics.

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Madoff: A Riot of Red Flags

Cited by 27 publications

References 9 publications

Mr. Madoff’s Amazing Returns: An Analysis of the Split-Strike Conversion Strategy

Mr. Madoff’s Amazing Returns: An Analysis of the Split-Strike Conversion Strategy

Factors Influencing Ponzi Scheme Participation in Nigeria

Estimating JP Morgan Chase's Profits From the Madoff Deposits

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