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Flows, performance, and managerial incentives in the hedge fund industry

Agarwal, Vikas (contributor); Daniel, Naveen D. (contributor) - 2003 - This version: September 1, 2003

Persistent link: https://www.econbiz.de/10001797889

Role of managerial incentives and discretion in hedge fund performance

Agarwal, Vikas; Daniel, Naveen D.; Naik, Narayan Y. - 2004

Dieses Papier untersucht vier Themenbereiche: Erstens werden die Determinanten der Netto-Zuflüsse in Hedgefonds … untersucht. Zweitens betrachten wir die Anreize für das Management von Hedgefonds. Drittens untersuchen wir das Verhalten von …

Persistent link: https://www.econbiz.de/10009524828

Income Taxes and Managerial Incentives : Evidence from Hedge Funds

Agarwal, Vikas; Chen, Gary; Shi, Zhen; Wang, Bin - 2021

We find a negative relation between hedge fund manager’s personal income tax rates and fund performance. Using changes … in tax deferral regulation or state-level tax rates suggest causality in the tax-performance relation. Managers are less … disincentivizing managers to engage in more demanding acquisition and processing of information. However, higher incentives from …

Persistent link: https://www.econbiz.de/10013217801

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

Volatility of aggregate volatility and hedge funds returns

Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: June 7, 2015

This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market portfolio via volatility of aggregate volatility (VOV) and...

Persistent link: https://www.econbiz.de/10011308590

Volatility of aggregate volatility and hedge funds returns

Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: January 31, 2015

This paper investigates empirically whether uncertainty about the expected returns on the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version...

Persistent link: https://www.econbiz.de/10010485488

Do higher-moment equity risks explain hedge fund returns?

Agarwal, Vikas; Bakshi, Gurdip S.; Huij, Joop - 2010

Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...

Persistent link: https://www.econbiz.de/10008666525

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 systematic tail risk measure for equity-oriented 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, tail-sensitive...

Persistent link: https://www.econbiz.de/10011344453

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

Determinants and implications of fee changes in the hedge fund industry

Agarwal, Vikas; Ray, Sugata - 2011 - First draft: Feb 15, 2011, This draft: Mar 12, 2011

asymmetric with much greater incidence of fee increases compared to fee decreases. We find that managers of younger and smaller … findings are consistent with opportunistic behavior of emerging fund managers in expropriating surplus from their investors. …

Persistent link: https://www.econbiz.de/10009006784