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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

Funding liquidity risk of funds of hedge funds : evidence from their holdings

Agarwal, Vikas; Aragon, George O.; Shi, Zhen - 2015

We examine the funding liquidity risk of funds of hedge funds (FoFs) by proposing a new measure, illiquidity gap, which captures the mismatch between the liquidity of a FoF's portfolio and the liquidity offered to its own investors. We find that hedge funds that are exposed to the flow-driven...

Persistent link: https://www.econbiz.de/10011334150

Redemption in kind and mutual fund liquidity management

Agarwal, Vikas; Ren, Honglin; Shen, Ke; Zhao, Haibei - 2021

Open-end mutual funds can use redemption in kind to satisfy investor redemptions by delivering securities instead of cash. We find that funds that reserve their rightsto redeem in kind experience less redemption after poor performance. Evidence from actual in-kind transactions reveals several...

Persistent link: https://www.econbiz.de/10012818297

Interfund Lending in Mutual Fund Families : Role in Liquidity Management

Agarwal, Vikas - 2018

The Investment Company Act of 1940 restricts interfund lending and borrowing within a mutual fund family, but families can apply for regulatory exemptions to participate in such transactions. We find that the monitoring mechanisms and investment restrictions influence the family's decision to...

Persistent link: https://www.econbiz.de/10012937047

Liquidity Transformation and Financial Fragility : Evidence from Funds of Hedge Funds

Agarwal, Vikas - 2018

We examine liquidity transformation by funds of hedge funds (FoFs) by developing a new measure, illiquidity gap, which captures the mismatch between the liquidity of their portfolios and the liquidity available to their investors. We find that higher liquidity transformation is driven by FoFs'...

Persistent link: https://www.econbiz.de/10012937427

Do ETFs increase the commonality in liquidity of underlying stocks?

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

-pair level indicate that ETF ownership significantly increases commonality. We show that greater arbitrage activities are … of Russell indexes, and ETF trading halts, to establish the causal effect of ETF ownership and the arbitrage mechanism …

Persistent link: https://www.econbiz.de/10012496061

Risk and return in convertible arbitrage : evidence from the convertible bond market

Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - 2010

In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a … strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy … CBs to the equity market. -- Hedge funds ; Convertible Bonds ; Convertible arbitrage ; Supply ; Risk Factors …

Persistent link: https://www.econbiz.de/10008758073

Risk and return in convertible arbitrage : evidence from the convertible bond market

Agarwal, Vikas; Fung, William; Loon, Yee Cheng; Naik, … - In: Journal of empirical finance 18 (2011) 2, pp. 175-194

Persistent link: https://www.econbiz.de/10009301134

Risk and return in convertible arbitrage : evidence from the convertible bond market

Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - 2004

Persistent link: https://www.econbiz.de/10009524821

Risk and return in convertible arbitrage : evidence from the convertible bond market

Agarwal, Vikas (contributor) - 2006 - This vers.: February 15,2006

Persistent link: https://www.econbiz.de/10003321582