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Tail risk in hedge funds : a unique view from portfolio holdings

Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian - 2015 - This Version: May 10, 2015

We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tailsensitive stocks as well as options,...

Persistent link: https://www.econbiz.de/10011308031

Hedge funds for retail investors? : an examination of hedged mutual funds

Agarwal, Vikas; Boyson, Nicole M.; Naik, Narayan Y. - 2007 - First version: March 10, 2006, Current version: May 9, 2007

outperform traditional mutual funds. Most interesting, this superior performance is largely driven by managers with experience in …

Persistent link: https://www.econbiz.de/10009525975

On the relative performance of multi-strategy and funds of hedge funds

Agarwal, Vikas; Kale, Jayant R. - 2007 - This version: June 14, 2007

managers with "better" ability self-select into joining MS funds and the competition among MS funds results in the rents from …, flexibility, and fee structure between MS funds and FOFs, our results suggest that self-selection by managers with superior …

Persistent link: https://www.econbiz.de/10009526500

Managerial multitasking in the mutual fund industry

Agarwal, Vikas; Ma, Linlin; Mullally, Kevin - 2015 - [This version]: June 2015

We examine the determinants and consequences of mutual fund managers simultaneously managing multiple funds. Well …-performing managers multitask by taking over poorly performing funds or launching new funds. Subsequent to multitasking, funds run by … managers prior to multitasking (i.e., incumbent funds) experience performance deterioration while the performance of the …

Persistent link: https://www.econbiz.de/10011308595

Managerial multitasking in the mutual fund industry

Agarwal, Vikas; Ma, Linlin - 2013

managers simultaneously manage multiple funds. We show that wellperforming managers multitask either by taking over poorly … performing funds within fund companies (i.e., acquired funds) or by launching new funds. We find that funds managed by managers …

Persistent link: https://www.econbiz.de/10010226655

Mandatory portfolio disclosure, stock liquidity, and mutual fund performance

Agarwal, Vikas; Mullally, Kevin; Tang, Yuehua; Yang, … - 2013

This paper studies the impact of mandatory portfolio disclosure of mutual funds on the liquidity of disclosed stocks and on fund performance. We consider a theoretical model of informed trading with different mandatory disclosure frequencies. Using a regulation change in May 2004 that increased...

Persistent link: https://www.econbiz.de/10009764572

Mandatory portfolio disclosure, stock liquidity, and mutual fund performance

Agarwal, Vikas; Mullally, Kevin Andrew; Tang, Yuehua; … - 2014 - Rev.

We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the SEC regulation in May 2004 requiring more frequent disclosure. Stocks with higher fund...

Persistent link: https://www.econbiz.de/10010363243

Performance inconsistency in mutual funds : an investigation of window-dressing behavior

Agarwal, Vikas; Gay, Gerald D.; Ling, Leng - 2012 - First Version: March 31, 2011, This version: February 7, 2012

performance and their disclosed portfolio holdings. Using these measures, we show that funds with unskilled managers and poor …

Persistent link: https://www.econbiz.de/10009705456