Asset Pricing and Investments: Portfolio Management, Institutional Investors, Hedge Funds and Mutual Funds, Performance Evaluation, and Capital Markets.


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          Abstracted in CFA Digest, 38(2), May 2008, 14-15.

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          This paper was previously titled "Liquidity spillover in hedge funds: Evidence from the holdings of funds of hedge funds"

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 Revision requested at the Review of Financial Studies

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          Winner of the Best Paper Award in Investments at the FMA 2011 Annual Meetings

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          Received research grant from the BNP Paribas Hedge Fund Center at Singapore Management University

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All my papers on SSRN are available here



*Presentations by coauthors

Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows (with Clifton Green and Honglin Ren)
  • Fixed Income and Financial Institutions Conference, University of South Carolina, April 2016*
  • Georgia State University, September 2015*
Mutual fund portfolio disclosure and corporate innovation (with Rahul Vashishtha and Mohan Venkatachalam)
Interfund lending in mutual fund families: Role of internal capital markets (with Haibei Zhao)
Volatility of aggregate volatility and hedge fund returns (with Y. Eser Arisoy and Narayan Y. Naik)
Funding liquidity risk of funds of hedge funds: Evidence from their holdings (previously titled "Liquidity spillovers in hedge funds: Evidence from the holdings of funds of hedge funds") (with George Aragon and Zhen Shi)
What happens when your money manager gives money away? An analysis of hedge fund managers’ charitable donations (with Yan Lu and Sugata Ray)
Tail risk in hedge funds: A unique view from the portfolio holdings (previously titled "Tail risk in hedge funds: Evidence from portfolio holdings") (with Stefan Ruenzi and Florian Weigert)
Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds (with Yan Lu and Sugata Ray)
Mandatory portfolio disclosure, stock liquidity, and mutual fund performance (with Kevin Mullally, Yuehua Tang, and Baozhong Yang)
Corporate derivatives usage, yield spreads, and leverage (with Gerald D. Gay and Chen-Miao Lin)
Institutional investment and intermediation in the hedge fund industry (with Vikram Nanda and Sugata Ray)
Determinants and implications of fee changes in the hedge fund industry (with Sugata Ray)
Window dressing in mutual funds (with Gerald D. Gay and Leng Ling)
Managerial multitasking in the mutual fund industry (with Linlin Ma)
Common factors in analysts' earnings revisions: The role of changing economic conditions (with Dieter Hess)
Uncovering hedge fund skill from the portfolio holdings they hide (with Wei Jiang , Yuehua Tang, and Baozhong Yang)
Inferring reporting-related biases in hedge fund databases from hedge fund equity holdings (with Vyacheslav Fos and Wei Jiang)
Do institutional investors have an ace up their sleeves? -- Evidence from confidential filings of portfolio holdings (with Wei Jiang, Yuehua Tang, and Baozhong Yang)
Transaction costs and value premium (with Lingling Wang)
Do higher-moment equity risks explain hedge fund performance? (Previously "Dynamic investment opportunities and the cross-section of hedge fund returns: Implications of higher-moment risks for performance") (with Gurdip Bakshi and Joop Huij)
  • Western Finance Association, June 2010
  • Ist Annual Conference on Econometrics of Hedge Funds, sponsored by CREST, ENSAE, Le Fondation du Risque, and Groupama, held at Institut Louis Bachelier, Paris, January 2009
  • HEC Paris, December 2008
  • 18th Annual Derivative Securities and Risk Management Conference sponsored by FDIC, Cornell University, and University of Houston, April 2008
  • University of Arkansas, March 2008
  • Florida State University, February 2008*
  • Georgia Institute of Technology, February 2008*
  • The Federal Reserve Bank of Atlanta Conference in honor of Professor Stephen Smith, Atlanta, September 2007
  • The Bank of Canada-Rotman School of Management Workshop on Advances in Portfolio Management, University of Toronto, July 2007*
  • Conference on Professional Asset Management, Rotterdam School of Management, Erasmus University, March 2007
Management compensation and market timing under portfolio constraints (Previously "Market timing under portfolio constraints: Do benchmarks matter?") (with Juan-Pedro Gomez and Richard Priestley)
Role of managerial incentives and discretion in hedge fund performance (with Naveen D. Daniel and Narayan Y. Naik)
Do hedge funds manage their reported returns? (Previously "Why is Santa so kind to hedge funds? The December return puzzle!") (with Naveen D. Daniel and Narayan Y. Naik)
Hedge funds for retail investors? An examination of hedged mutual funds (with Nicole Boyson and Narayan Y. Naik)
Risk and return in convertible arbitrage: Evidence from the convertible bond market (with William H. Fung, Yee Cheng Loon, and Narayan Y. Naik)
Role of managerial incentives, flexibility, and ability: Evidence from performance and money flows in hedge funds (with Naveen D. Daniel and Narayan Y. Naik)
Risks and portfolio decisions involving hedge funds (with Narayan Y. Naik)
Does gain-loss analysis outperform mean-variance analysis? Evidence from portfolios of hedge funds and passive strategies (with Narayan Y. Naik)

On taking the 'alternative' route: Risks, rewards, style and performance persistence of hedge funds (with Narayan Y. Naik)

  • The European Finance Association Annual Meeting, Helsinki, Finland, August 1999
Multi-period performance persistence analysis of hedge funds (with Narayan Y. Naik)




         Video is available at





Research Grants reviews



Chair of Dissertation Committee

Member of Dissertation Committee

More information about the PhD program at Georgia State University can be found here.

External Member of Dissertation Committee


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