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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

Volatility of Aggregate Volatility and Hedge Fund Returns

Agarwal, Vikas - 2019

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

Persistent link: https://www.econbiz.de/10012904697

Risks and portfolio decisions involving hedge funds

Agarwal, Vikas; Naik, Narayan Y. - In: The review of financial studies 17 (2004) 1, pp. 63-98

Persistent link: https://www.econbiz.de/10001907097

Risks and portfolio decisions involving hedge funds

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

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

Institutional Investment and Intermediation in the Hedge Fund Industry

Agarwal, Vikas - 2013

Using new data on the hedge fund investments of institutional investors, this paper is the first to examine the determinants and consequences of intermediation in the hedge fund industry. Our empirical analysis reveals several findings consistent with predictions from the theoretical literature....

Persistent link: https://www.econbiz.de/10013079673

Management compensation and market timing under portfolio constraints

Agarwal, Vikas; Gómez, Juan-Pedro; Priestley, Richard - In: Journal of economic dynamics & control 36 (2012) 10, pp. 1600-1625

Persistent link: https://www.econbiz.de/10009701968

Management compensation and market timing under portfolio constraints

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

This paper shows that portfolio constraints have important implications for management compensation and performance evaluation. In particular, in the presence of portfolio constraints, allowing for benchmarking can be bene cial. Benchmark design arises as an alternative effort inducement...

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

Foreign speculators and emerging equity markets

Bekaert, Geert; Harvey, Campbell R. - 1997

Persistent link: https://www.econbiz.de/10000983929

Asymmetric volatility and risk in equity markets

Bekaert, Geert; Wu, Guojun - 1997

Persistent link: https://www.econbiz.de/10000627885

International asset allocation with time-varying correlations

Ang, Andrew; Bekaert, Geert - 1999

Persistent link: https://www.econbiz.de/10001379604