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Agarwal, Vikas; Gay, Gerald D.; Ling, Leng - 2014

We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and 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/10010363240

Window dressing in mutual funds

Agarwal, Vikas; Gay, Gerald D.; 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 D.; 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

Mandatory portfolio disclosure, stock liquidity, and mutual fund performance

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

and on fund performance. We consider a theoretical model of informed trading with different mandatory disclosure … consistent with the model's predictions. First, stocks with higher fund ownership experience a larger increase in liquidity as … improves market quality by increasing stock liquidity but imposes costs on informed investors. …

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.

develop a model of informed trading with disclosure and test its predictions using the SEC regulation in May 2004 requiring …

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

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

Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance

Agarwal, Vikas - 2014

develop a model of informed trading with disclosure and test its predictions using the SEC regulation in May 2004 requiring …

Persistent link: https://www.econbiz.de/10013063980

Management compensation and market timing under portfolio constraints

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

private information. -- Market Timing ; Incentive Fee ; Benchmarking ; Portfolio Constraints …

Persistent link: https://www.econbiz.de/10009372993

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

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

Recently, there has been explosive growth in two products from the hedge fund industry - multi-strategy (MS) funds and funds of hedge funds (FOFs), both of which offer diversification across different hedge fund strategies. In well-functioning markets, both investment vehicles should offer...

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...

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