research

RESEARCH INTERESTS

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

PUBLICATIONS IN REFEREED JOURNALS

Role of managerial incentives and discretion in hedge fund performance, Journal of Finance, Volume 64, Number 5, 2221-2256 (with Naveen D. Daniel and Narayan Y. Naik)

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Hedge funds for retail investors? An examination of hedged mutual funds, Journal of Financial and Quantitative Analysis, Volume 44, Number 2, 273-305 (with Nicole M. Boyson and Narayan Y. Naik)
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On the Relative Performance of Multi-Strategy and Funds of Hedge Funds, (2007) Journal of Investment Management, Volume 5, Number 3, 41-63 (with Jayant R. Kale)

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Hedge Funds (2005), Foundations and Trends in Finance, Volume 1, Number 2, pp. 103-170 (with Narayan Y. Naik)

Risks and Portfolio Decisions involving Hedge Funds (2004), Review of Financial Studies, Volume 17, Number 1, pp. 63-98 (with Narayan Y. Naik)

Among the fifty most-frequently read articles in the Review of Financial Studies for each month during July 2006 to January 2008, the list being updated and reset every month (list has been discontinued since January 2008)

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(An earlier version titled "Performance Evaluation of Hedge Funds with Option-based and Buy-and-Hold Strategies" ranked among the top ten most downloaded papers on SSRN within 60 days)
Multi-Period Performance Persistence Analysis of Hedge Funds (2000), Journal of Financial and Quantitative Analysis, Volume 35, Number 3, pp. 327-342 (with Narayan Y. Naik)
(Among the top ten most downloaded papers on SSRN within 60 days)

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Generalised Style Analysis of Hedge Funds (2000), Journal of Asset Management, July 2000, Volume 1, Number 1, pp. 93-109 (with Narayan Y. Naik)
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On taking the Alternative Route: Risks, Rewards, and Performance Persistence of Hedge funds (2000), Journal of Alternative Investments, Spring 2000, Volume 2, Number 4, pp. 6-23 (with Narayan Y. Naik)
(Among the top ten most downloaded papers on SSRN within 60 days)

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All my papers on SSRN are available here

OTHER PUBLICATIONS

Hedgefonds: Grundzuege einer alternativen Anlageklasse, in Michael Busack/Dieter Kaiser (eds), Handbuch Alternative Investments, Gabler Verlag, Wiesbaden, 2006 (with Narayan Y. Naik)
Going with the Hedge Flow, Robinson Research Report, Winter 2004, pp. 3-4 (with Naveen D. Daniel and Narayan Y. Naik)
Understanding Risks of Hedge Funds, Echos Money, numero 8, 2002, pp. 35-36
Introduction to hedge funds, Gestion Alternative, Julliet 2002, AFG-ASFFI (with Narayan Y. Naik)
Hedge funds – Charackteristika und Risiken", Absolut report, no. 2, Feb 2002, pp. 8-14, Die erste Publickation fur Alternative Investment in Deutschland, Germany (with Narayan Y. Naik)
Creative funds that have come into their own, Financial Times, Mastering Investment (Part Five) (with Narayan Y. Naik)

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WORKING PAPERS

Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market (with William H. Fung, Yee Cheng Loon, and Narayan Y. Naik)

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Why is Santa so kind to hedge funds? The December return puzzle! (with Naveen D. Daniel and Narayan Y. Naik)

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Do Higher-Moment Equity Risks Explain Hedge Fund Returns? (with Gurdip Bakshi and Joop Huij)
Do Institutional Investors Have an Ace up Their Sleeves? -- Evidence from Confidential Filings of Portfolio Holdings (with Wei Jiang, Yuehua Tang, and Baozhong Yang)

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Inferring Reporting Biases in Hedge Fund Databases from Hedge Fund Equity Holdings (with Wei Jiang and Vyacheslav Fos)

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Transaction Costs and Value Premium (with Lingling Wang)
Market Timing under Portfolio Constraints: Do benchmarks matter? (with Juan-Pedro Gomez and Richard Priestly)
Does Gain-Loss Analysis Outperform Mean-Variance Analysis? Evidence from Portfolios of Hedge Funds and Passive Strategies (with Narayan Y. Naik)

RESEARCH GRANTS

Research Grant from BNP Paribas Hedge Fund Center at HEC Paris (10,000 Euros) in 2009 (with Costanza Meneghetti)
Research Grant from BNP Paribas Hedge Fund Center at Singapore Management University (15,000 Singapore Dollars) in 2008 (with Gurdip Bakshi and Joop Huij)
INQUIRE Europe Research Grant (10, 000 Euros) in 2006 (with William H. Fung, Yee Cheng Loon and Narayan Y. Naik)
Foundation for Managed Derivatives Research (FMDR) Grant (US $15,000) in 2005 (with Nicole Boyson and Narayan Y. Naik)
BSI Gamma Foundation Research Grant in 2004 (with Naveen D. Daniel and Narayan Y. Naik)
BSI Gamma Foundation Research Grant in 2002 (with Narayan Y. Naik)
INQUIRE Europe Research Grant in 2002 (with Naveen D. Daniel and Narayan Y. Naik)
INQUIRE UK Research Grant in 1998 (with Narayan Y. Naik)

CONFERENCE PRESENTATIONS

Inferring Reporting Bias in Hedge Fund Databases from Hedge Fund Equity Holdings (with Wei Jiang and Vyacheslav Fos)	2^nd Annual Conference on Econometrics of Hedge Funds, January 2010 (by co-author)
Do Institutional Investors Have an Ace up Their Sleeves? -- Evidence from Confidential Filings of Portfolio Holdings (with Wei Jiang, Yuehua Tang, and Baozhong Yang)	Conference on Financial Economics and Accounting, Rutgers Business School, November 2009 (by co-author) All-Georgia Finance Forum, Atlanta, October 2009 (by co-author) University of Buffalo, September 2009 Columbia Law School, September 2009 (by co-author) Columbia Business School, September 2009 (by co-author)
Transaction Costs and Value Premium (with Lingling Wang)	Financial Management Association (FMA) Annual Meeting, Orlando, October 2007
Dynamic Investment Opportunities and the Cross-Section of Hedge Fund Returns: Implications of Higher-Moment Risks for Performance (with Gurdip Bakshi and Joop Huij)	I^st 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 Florida State University, February 2008 (by co-author) Georgia Institute of Technology, February 2008 (by co-author) 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 (by co-author) Conference on Professional Asset Management, Rotterdam School of Management, Erasmus University, March 2007
Market Timing Under Portfolio Constraints: Do Benchmarks Matter? (with Juan-Pedro Gomez and Richard Priestly)	2009 North American Summer Meetings of the Econometric Society, Boston, June 2009 (by co-author) European Financial Management Association, Vienna, Austria, 2007 Annual Meeting (by co-author)
Role of managerial incentives and discretion in hedge fund performance (with Naveen D. Daniel and Narayan Y. Naik)	Third Annual Conference on Corporate Finance, Olin School of Business, Washington University St. Louis, October 2006 (by co-author) Singapore Management University, Singapore, June 2006 European Winter Finance Conference, Andermatt, February 2006 (by co-author)
Why is Santa so kind to hedge funds? The December return puzzle! (with Naveen D. Daniel and Narayan Y. Naik)	2007 Institutional Investors Conference, University of Texas, Austin, November 2007 Western Finance Association (WFA), June 2007 Ninth Annual Financial Econometrics Conference, University of Waterloo, March 2007 (by co-author) Rotterdam School of Management, Erasmus University, June 2006 Vanderbilt University conference on Conflicts of Interest in Financial Markets, Nashville, April 2006 (by co-author) Financial Management Association (FMA) Annual Meeting, Chicago, October 2005 BSI Gamma conference, Milan, Italy, June 2005 (by co-author) IAE Sorbonne, Paris, France, May 2005 HEC Montreal, Montreal, Canada, April 2005
Hedge funds for retail investors? An examination of hedged mutual funds (with Nicole Boyson and Narayan Y. Naik)	Financial Management Association (FMA) Annual Meeting, Orlando, October 2007 Third Biennial McGill Conference on Global Asset Management, Montreal, June 2007 UK Society of Investment Professionals (UKSIP), London, February 2007 European Finance Association (EFA) Annual Meeting, Zurich, Switzerland, August 2006 (by co-author) Ohio State University, July 2006 (by co-author) London Business School, March 2006
Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market (with William H. Fung, Yee Cheng Loon, and Narayan Y. Naik)	INQUIRE UK and INQUIRE Europe Joint Seminar, Brighton, UK, March 2007 Ninth Annual Financial Econometrics Conference, University of Waterloo, March 2007 (by co-author) European Winter Finance Conference, Andermatt, February 2007 Financial Management Association (FMA) Annual Meeting, Salt Lake City, USA, October 2006 (by co-author) European Finance Association (EFA) Annual Meeting, Zurich, Switzerland, August 2006 (by co-author) (Awarded the best paper in hedge funds at the conference) Second Annual Empirical Asset Pricing Retreat, Amsterdam, June 2006 Financial Management Association (FMA) Annual Meeting, New Orleans, USA, October 2004 (by co-author) All-Georgia Finance Forum, Atlanta, September 2004 Financial Management Association (FMA) European Annual Meeting, Zurich, Switzerland, June 2004 London School of Economics conference on “Risk and Return Characteristics of Hedge Funds”, IAM Hedge Fund Research Programme, London, May 2004 (by co-author)
Role of Managerial incentives, flexibility, and ability: Evidence from performance and money flows in hedge funds (with Naveen D. Daniel and Narayan Y. Naik)	London School of Economics, March 2005 Department of Business Administration and Finance, University of Cologne, June 2003 Instituto Sueprior de Ciencias do Trabalho e da Empresa (ISCTE), Lisbon, Portugal, June 2004 Faculdade de Economia, Universidade do Porto, Porto, Portugal, May 2004 Financial Management Association (FMA) Annual Meeting, Denver, Colorado, October 2003 European Finance Association (EFA) Annual Meeting, Glasgow, United Kingdom, August 2003 (Awarded the best paper in hedge funds at the conference) Financial Management Association (FMA) European Annual Meeting, Dublin, Ireland, June 2003 Wharton Financial Institutions Center conference on “Hedge Funds, Asset Allocation, and Risk Management”, Philadelphia, May 2003 All-Georgia Finance Forum, Federal Reserve Bank of Atlanta, Atlanta, October 2002 INQUIRE Europe Seminar on Alternative Investments, Stockholm, Sweden, September 2002
Risks and Portfolio Decisions involving Hedge Funds (with Narayan Y. Naik)	Financial Management Association (FMA) Annual Meeting, San Antonio, Texas, October 2002 Financial Markets Research Center (FMRC) Conference on Innovation in Finance, Vanderbilt University, April 2002 Financial Management Association (FMA) Annual Meeting, Toronto, Canada, October 2001 European Financial Management Association (EFMA) Annual Meeting, Lugano, Switzerland, June 2001 4th International Center for Financial Management and Engineering Research Day at the University of Geneva, March 2001 7th Annual Mitsui Research Centre Conference at the University of Michigan, Ann Arbor, November 2000 The European Finance Association (EFA) Annual Meeting, London, UK, August 2000
Does Gain-Loss Analysis Outperform Mean-Variance Analysis? Evidence from Portfolios of Hedge Funds and Passive Strategies (with Narayan Y. Naik)	The Financial Management Association (FMA) Annual Meeting, Seattle, USA, October 2000 The European Financial Management Association (EFMA) Annual Meeting, Athens, Greece, June 2000 The Financial Management Association (FMA) European Conference, Edinburgh, Scotland, May 2000 Scottish Institute for Research in Investments and Finance (SIRIF) Hedge Fund Conference, Edinburgh, Scotland, May 2000 INSEAD-London Business School Ph.D. Forum, London Business School, June 2000
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)	The European Institute of Advanced Studies in Management (EIASM) Workshop on "Issues in Performance Measurement" at Brussels, Belgium, December 1999

INVITED PRESENTATION TO THE INDUSTRY

Riskinvest 2004 – Optimal risk management techniques and investment strategies for pension funds, hedge funds, and investment managers, November 2004
International Conference on Hedge Funds by Ecole des sciences de la gestion and the Institut de Finance Mathématique de Montéal, October 2004 (keynote address)
Quantitative Trading and Investment Strategies for Global Derivatives, Quant 2003 Congress, Risk Waters Group, New York, November 2003
Schroders Charity Investment Forum, November 2001

FINANCIAL PRESS COVERAGE OF MY RESEARCH

Fund Strategy (Cover story), August 3, 2009, “Overprotected from risk?” by Vanessa Drucker.
Market Watch, April 7, 2009, “White House ponders: Are some hedge funds too big to fail?” by Ron Orol
The Associated Press, December 19, 2007, “Armed with trade windfalls, sovereign funds swoop in, lend cash to US top-shelf names” by Tim Paradis (Story also covered in Canadian Business, International Herald Tribune, and The Houston Chronicle)
Forbes, October 26, 2007, “Naughty or Nice?” by Neil Weinberg
Financial Times, October 03, 2007, "MFS bets on hedge funds' long-term appeal" by Rebecca Knight
Barron's, August 27, 2007, “Dancing with Stars” by J.R. Brandstrader
The Wall Street Journal, August 10, 2007, “Bets on Calm Now Come Back To Cost Investors” by Justin Lahart
The Deal, August 7, 2007, “Lawmakers query SEC” by Ron Orol
Institutional Investor, May 9, 2007, “Why Multi-Strategy Funds Outperform Fund of Hedge Funds”
Financial Times, May 7, 2007, “Research rates multi-strategy hedge funds” by Steve Johnson
The Wall Street Journal, February 14, 2007, “Hedge funds beckon small investors” by Eleanor Laise
Money Management Executive, February 5, 2007, “Hedged mutual funds make the grade” by Lori Pizzani
The Deal, October 2, 2006, “A gathering storm?” by Ron Orol
The New York Times, April 21, 2006, “Are These Hedge Fund Results Real?” by Floyd Norris, Section C, Col. 1, Page 1
Financial Times, April 17, 2006, “Hedge fund entrepreneurs could change retail landscape”
The Daily Telegraph, December 29, 2005, “Funds under fire for ‘Santa effect’”
Evening Standard, December 29, 2005, “Hedge Funds ‘Manipulating Figures’ to Bring Big Paydays”
RiskCenter, December 29, 2005, “Market Risk – Christmas Bonus, Hedge Fund Returns in December Triple Monthly Average”, by Ellen J. Silverman
Institutional Investor, December 28, 2005, “Santa kind to HFs’ A Lot of Ho-Ho-Hokum”
International Herald Tribune, March 31, 2003, “Around the Markets: A futurist tack for weathering market storms”, by Donna Rosato
The New York Times, March 30, 2003, “To Offset Stocks, a Look to Futures”, by Donna Rosato
Chartered Financial Analyst, August 2000, "Hedge Funds: Raiders of the lost arc", by Atul Priyadarshi, pp. 17-20.
Managed Accounts Report (MAR)/Hedge, August 2000, "Deconstructing returns and 'herd' effects", by Neil Wilson, Cover Story, pp. 1,14-15.
Financial Times, July 12, 2000, "Hedge funds come out of the cold" by Barry Riley.
Euromoney, June 2000, "Betting on survival", by David Shirreff, pp. 128-140.
Financial Times, June 28, 1999, "Hedge funds set to bloom" by Philip Coggan.
International Herald Tribune, December 24, 1999, "An Appraisal of Hedge Funds"

PROFESSIONAL AFFILIATIONS

Research Fellow, Centre for Financial Research (CFR), University of Cologne, Germany
Research Associate, EDHEC Risk and Asset Management Research Center
Member, American Finance Association
Member, European Finance Association
Member, Financial Management Association
Member, Western Finance Association

REFEREE ACTIVITIES

PhD SUPERVISION

Chair of Dissertation Committee

Yee Cheng Loon (2007) - First placement at SUNY Binghampton

Member of Dissertation Committee

Marco Pagani (2006) - First placement at San Jose State University
Anna Agapova (2006) - First placement at Florida Atlantic University

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

MY CO-AUTHORS

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