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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, drive tail risk. Moreover, managerial incentives and discretion as …

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

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 stocks as well as options, drive tail risk. Moreover, leverage and …

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

Risks and portfolio decisions involving hedge funds

Agarwal, Vikas (contributor); Naik, Narayan Y. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001700390

Management compensation and market timing under portfolio constraints

Agarwal, Vikas; Gómez, Juan-Pedro; Priestley, Richard - 2012 - Revised Version: January 3, 2012

for the manager's linear incentive fee and the optimal benchmark. The size of the incentive fee and the risk adjustment in … the benchmark composition are increasing in the investor's risk tolerance and the manager's ability to acquire and process …

Persistent link: https://www.econbiz.de/10009705455

Transaction costs and value premium

Agarwal, Vikas; Wang, Lingling - 2007

Value premium has been well documented in the finance literature. This paper empirically examines whether the value strategy of buying value stocks and selling growth stocks is profitable after controlling for transaction costs. Using the limited dependent variable estimate of transaction costs...

Persistent link: https://www.econbiz.de/10009525973

Performance evaluation of hedge funds with options-based and buy-and-hold strategies

Agarwal, Vikas (contributor); Naik, Narayan Y. (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001700321

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

Managerial multitasking in the mutual fund industry

Agarwal, Vikas; Ma, Linlin - 2013

We examine the determinants and consequences of the multitasking phenomenon in the mutual fund industry where fund managers simultaneously manage multiple funds. We show that wellperforming managers multitask either by taking over poorly performing funds within fund companies (i.e., acquired...

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

Window dressing in mutual funds

Agarwal, Vikas; Gay, Gerald; Ling, Leng - 2013 - First Version: March 31, 2011, This version: July 26, 2013

We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and its disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which...

Persistent link: https://www.econbiz.de/10009784848

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

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

This paper develops two measures of performance inconsistency based on information derived from funds' actual performance and their disclosed portfolio holdings. Using these measures, we show that funds with unskilled managers and poor performance are associated with greater inconsistency....

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