Similar Search Results

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

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

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

An Information Factor : What Are Skilled Investors Buying and Selling?

Ma, Matthew - 2019

We construct an information factor (INFO) using the informed stock buying of corporate insiders and the informed selling of short sellers and option traders. INFO strongly predicts future stock returns -- a long-short portfolio formed on INFO earns monthly alphas of 1.24%, substantially...

Persistent link: https://www.econbiz.de/10012898919

A Model of Momentum

Liu, Laura Xiaolei - 2011

Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...

Persistent link: https://www.econbiz.de/10013130782

A Model of Momentum

Liu, Laura Xiaolei - 2011

Persistent link: https://www.econbiz.de/10013132883

A Model of Momentum

Liu, Laura Xiaolei - 2012

We offer an investment-based interpretation of price and earnings momentum. The neoclassical theory of investment implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and...

Persistent link: https://www.econbiz.de/10013115136

A New Anomaly : The Cross-Sectional Profitability of Technical Analysis

Han, Yufeng - 2012

In this paper, we document that an application of a moving average strategy of technical analysis to portfolios sorted by volatility generates investment timing portfolios that often outperform the buy-and-hold strategy substantially. For high volatility portfolios, the abnormal returns,...

Persistent link: https://www.econbiz.de/10013115819

Macroeconomic Volatilities and Long-Run Risks of Asset Prices

Zhou, Guofu - 2014

In this paper, motivated by existing and growing evidence on multiple macroeconomic volatilities, we extend the long-run risks model of Bansal and Yaron (2004) by allowing both a long- and a short-run volatility components in the evolution of economic fundamentals. With this extension, the new...

Persistent link: https://www.econbiz.de/10013071174