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Management compensation and market timing under portfolio constraints

Agarwal, Vikas; Gómez, Juan-Pedro; Priestley, Richard - 2011

evaluation. Concretely, in the presence of portfolio constraints, allowing for benchmarking can be beneficial. Benchmark design … 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/10009372993

Do ETFs increase the commonality in liquidity of underlying stocks?

Agarwal, Vikas; Hanouna, Paul; Moussawi, Rabih; Stahel, … - 2021

We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for other institutional ownership. Analyses using aggregate stock-level ETF ownership and common ETF ownership at the stock-pair level indicate that ETF ownership significantly...

Persistent link: https://www.econbiz.de/10012490478

The Role of Hedge Funds as Primary Lenders

Agarwal, Vikas; Meneghetti, Costanza - Centre for Financial Research <Köln> - 2011

We examine the role of hedge funds as primary lenders to corporate firms. We investigate boththe reasons and the implications of hedge funds’ activities in the primary loan market. Weexamine the characteristics of firms that borrow from hedge funds and find that borrowers areprimarily firms...

Persistent link: https://www.econbiz.de/10009284852

Window Dressing in Mutual Funds

Agarwal, Vikas; Gay, Gerald D.; Ling, Leng - Centre for Financial Research <Köln> - 2011

This paper introduces two measures to investigate potential window-dressing behavior amongmutual fund managers. We show that unskilled managers that perform poorly are more likely towindow dress by strategically purchasing winner stocks and selling loser stocks near quarterends. Further, funds...

Persistent link: https://www.econbiz.de/10009284867

Mutual fund transparency and corporate myopia

Agarwal, Vikas; Vashishtha, Rahul; Venkatachalam, Mohan - 2017

Pressure from institutional money managers to generate profits in the short run is often blamed for corporate myopia. Theoretical research suggests that money managers' short term focus stems from their career concerns and greater fund transparency can amplify these concerns. Using a...

Persistent link: https://www.econbiz.de/10011714893

Mandatory portfolio disclosure, stock liquidity, and mutual fund performance

Agarwal, Vikas; Mullally, Kevin A.; Tang, Yuehua; Yang, … - In: The journal of finance : the journal of the American … 70 (2015) 6, pp. 2733-2776

Persistent link: https://www.econbiz.de/10011411412

Interfund lending in mutual fund families : role of internal capital markets

Agarwal, Vikas; Zhao, H. - 2016 - [revised]

Although the 1940 Act restricts interfund lending within a mutual fund family, families can apply for exemptions from the regulator to participate in interfund lending. We find that heterogeneity in portfolio liquidity and investor flows across funds, funds' investment restrictions, and...

Persistent link: https://www.econbiz.de/10011506302

Interfund lending in mutual fund families : role in liquidity management

Agarwal, Vikas; Zhao, Haibei - In: The review of financial studies 32 (2019) 10, pp. 4079-4115

Persistent link: https://www.econbiz.de/10012108180

Mutual fund transparency and corporate myopia

Agarwal, Vikas; Vashishtha, R.; Venkatachalam, M. - 2016

Persistent link: https://www.econbiz.de/10011568302

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