Unobserved performance of hedge funds (with Stefan Ruenzi and Florian Weigert), Journal of Finance forthcoming.
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Redemption in kind and mutual fund liquidity management (with Honglin Ren, Ke Shen, and Haibei Zhao), Review of Financial Studies, 2023, Volume 36, Issue 6, 2274−2318.
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Private company valuations by mutual funds (with Brad M. Barber, Si Cheng, Allaudeen Hameed, and Ayako Yasuda), Review of Finance, 2023, Volume 27, Issue 2, 693−738.
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Referenced in the Securities and Exchange Commission (SEC) rule on “Good Faith Determinations of Fair Value” available at https://www.sec.gov/rules/final/2020/ic-34128.pdf
Political uncertainty and household stock market participation (with Hadiye Aslan, Lixin Huang, and Honglin Ren), Journal of Financial and Quantitative Analysis, 2022, Volume 57, Issue 8, 2899−2928. LEAD ARTICLE
Winner of the Best Paper Award at 2019 Academic Research Colloquium for Financial Planning and Related Disciplines
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Are hedge fund managers’ charitable donations strategic? (with Yan Lu and Sugata Ray), Journal of Corporate Finance , 2021, Volume 66, Article Number 101842.
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Short video discussing the paper
Why do mutual funds hold lottery stocks? (with Lei Jiang and Quan Wen), Journal of Financial and Quantitative Analysis forthcoming.
Winner of the the 2018 Best paper award in WRDS Advanced Research Scholar Program of the Wharton School, University of Pennsylvania
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Interfund lending in mutual fund families: Role in liquidity management (with Haibei Zhao), Review of Financial Studies, 2019, Volume 32, Issue 10, 4079−4115.
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Liquidity transformation and financial fragility: Evidence from funds of hedge funds (with George O. Aragon and Zhen Shi), Journal of Financial and Quantitative Analysis, 2019, Volume 54, Issue 6, 2355−2381.
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Short JFQA video regarding the paper
Mutual fund transparency and corporate myopia (with Rahul Vashishtha and Mohan Venkatachalam), Review of Financial Studies, 2018, Volume 31, Issue 5, 1966−2003.
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Winner of the best paper award at the ISB 2016 Summer Research Conference
Alpha or beta in the eye of the beholder: What drives hedge fund flows (with Clifton Green and Honglin Ren), Journal of Financial Economics, 2018, Volume 127, Number 3, 417−434.
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Tail risk in hedge funds: A unique view from portfolio holdings (with Stefan Ruenzi and Florian Weigert), Journal of Financial Economics 2017, Volume 125, Number 3, 610−636.
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Volatility of aggregate volatility and the cross-section of hedge fund returns (with Y. Eser Arisoy and Narayan Y. Naik), Journal of Financial Economics 2017, Volume 125, Number 3, 491−510.
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Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds (with Yan Lu and Sugata Ray), Management Science 2016, Volume 62, Issue 3, 722−740.
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Window dressing in mutual funds (with Gerald D. Gay and Leng Ling), Review of Financial Studies, 2014, Volume 27, Issue 11, 3133−3170.
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Winner of the Best Empirical Paper Award at the Southern Finance Association 2012 Annual Meetings
Featured on the Harvard Law School Forum on Corporate Governance and Financial Regulation on September 17, 2014:
http://blogs.law.harvard.edu/corpgov/2014/09/17/window-dressing-in-mutual-funds/
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Mandatory portfolio disclosure, stock liquidity, and mutual fund performance (with Kevin Mullally, Yuehua Tang, and Baozhong Yang), Journal of Finance 2015, Volume 70, Issue 6, 2733-2776.
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Inferring reporting-related biases in hedge fund databases from hedge fund equity holdings (with Vyacheslav Fos and Wei Jiang), Management Science, 2013, Volume 59, Number 6, 1271−1289.
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Received research grant from the BNP Paribas Hedge Fund Center at Singapore Management University
Uncovering hedge fund skill from the portfolio holdings they hide (with Wei Jiang, Yuehua Tang, and Baozhong Yang), Journal of Finance, 2013, Volume 68, Number 2, 739−783.
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Received research grant from Q-Group
Management compensation and market timing under portfolio constraints (with Juan-Pedro Gomez and Richard Priestley), Journal of Economic Dynamics and Control, 2012, Volume 36, Number 10, 1600−1625.
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Do hedge funds manage their reported returns? (with Naveen D. Daniel and Narayan Y. Naik), Review of Financial Studies, 2011, Volume 24, Issue 10, 3281−3320.
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Received research grant from BSI Gamma Foundation
Risk and return in convertible arbitrage: Evidence from the convertible bond market (with William H. Fung, Yee Cheng Loon, and Narayan Y. Naik), Journal of Empirical Finance, 2011, Volume 18, Issue 2, 175−194 (LEAD ARTICLE).
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Received research grant from INQUIRE Europe
Received best paper award in hedge funds at the European Finance Association 2006 meetings
The role of hedge funds as primary lenders (with Costanza Meneghetti), Review of Derivatives Research, 2011, Volume 14, Issue 2, 241−261.
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Received research grant from the BNP Paribas Hedge Fund Centre at HEC Paris
Role of managerial incentives and discretion in hedge fund performance (with Naveen D. Daniel and Narayan Y. Naik), Journal of Finance, 2009, Volume 64, Number 5, 2221−2256.
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Received research grant from INQUIRE Europe
Received best paper award in hedge funds at the European Finance Association 2003 meetings
Hedge funds for retail investors? An examination of hedged mutual funds (with Nicole M. Boyson and Narayan Y. Naik), Journal of Financial and Quantitative Analysis, 2009, Volume 44, Number 2, 273−305.
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Risks and portfolio decisions involving hedge funds (with Narayan Y. Naik), Review of Financial Studies, 2004, Volume 17, Issue 1, 63−98.
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Contact me at vagarwal@gsu.edu for the option-based factors used in the paper
Wharton Research Data Services (WRDS) has a research application for computing the returns of the option-based factors using Optionmetrics data. For details, click here.
Among the fifty most-cited articles in the Review of Financial Studies during July 2006 and February 2016, the list being updated at the beginning of each month (the list was temporarily discontinued between January 2008 and July 2011)
Among the 300 most cited articles published in the area of finance during the period 2000-2006 according to the article "What’s new in finance?" by Matti Keloharju in European Financial Management, 2008, 14(3), 564-608.
According to the Web of Science, as of May/June 2014, this highly cited paper received enough citations to place it in the top 1% of the academic field of Economics & Business based on a highly cited threshold for the field and publication year.
Received research grant from BSI Gamma Foundation
Multi-Period Performance Persistence Analysis of Hedge Funds (with Narayan Y. Naik), Journal of Financial and Quantitative Analysis, 2000, Volume 35, Number 3, 327−342.
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