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Hedge Funds : Performance, Risk Management, and Impact on Asset Markets

Agarwal, Vikas; Ren, Honglin - 2023

advanced econometric techniques.Recent research has also examined different risks hedge funds are exposed to and the risk … management practices of hedge funds. Particularly, studies have focused on systematic risk, liquidity risk, and financial … intermediary risk stemming from trading in the market and interacting with other market participants. With greater availability of …

Persistent link: https://www.econbiz.de/10014355695

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

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, drive tail risk. Moreover, managerial incentives and discretion as …

Persistent link: https://www.econbiz.de/10011308031

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 systematic tail risk measure for equity-oriented 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, tail-sensitive stocks as well as options, drive tail risk. Moreover, leverage and …

Persistent link: https://www.econbiz.de/10011344453

Tail risk in hedge funds : a unique view from portfolio holdings

Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian - In: Journal of financial economics 125 (2017) 3, pp. 610-636

Persistent link: https://www.econbiz.de/10011751864

Risks and portfolio decisions involving hedge funds

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

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

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

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

Window dressing in mutual funds

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