Research

GOOGLE SCHOLAR PROFILE FOR VIKAS AGARWAL

RESEARCH INTERESTS

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

PUBLICATIONS IN REFEREED JOURNALS

Note: All articles are the sole copyright of the respective publishers. Materials are provided for educational use only.

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

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OTHER PUBLICATIONS

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WORKING PAPERS

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Revision requested at the Review of Financial Studies

          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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RESEARCH GRANTS

CONFERENCE PRESENTATIONS

*Presentations by coauthors

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)

INVITED PRESENTATION TO THE INDUSTRY

OTHER PRESENTATIONS

CITATIONS IN THE FINANCIAL PRESS

INTERVIEWS

PROFESSIONAL AFFILIATIONS

EDITORIAL ACTIVITIES

REFEREE ACTIVITIES

Research Grants reviews

OTHER PROFESSIONAL ACTIVITIES

PhD SUPERVISION

Chair of Dissertation Committee

Member of Dissertation Committee

External Member of Dissertation Committee

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

MY CO-AUTHORS

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