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Vikas Agarwal

H. Talmage Dobbs, Jr. Chair of Finance and Professor    
  • Ph.D., London Business School
  • M.M.S., Bombay University
  • B.Tech., Avadh University
  • asset pricing and investments
  • hedge funds
  • performance measurement
  • capital markets

Dr. Agarwal’s current research focuses on various issues related to alternative investments including characterization of hedge fund risks, performance evaluation, determinants of money flows, impact of flows on performance, and managerial risk-taking behavior in the hedge fund industry. His research has been published both in academic and practitioner journals including Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Investment Management, Journal of Alternative Investments, and Journal of Asset Management. He has presented his research in various top academic conferences and his research has been cited and discussed in the financial press and magazines including Euromoney, Financial Times, International Herald Tribune, New York Times, and Wall Street Journal Europe.

Dr. Agarwal holds a research associate position at EDHEC Risk and Asset Management Center, France. He is also a research fellow at the Centre for Financial Research, University of Cologne, Germany.

  • Uncovering hedge fund skill from the portfolios they hide (with Wei Jiang, Yuehua Tang, and Baozhong Yang), Journal of Finance, 2013, Volume 68, Number 2, 739-783.
  • 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.
  • Management compensation and market timing under portfolio constraints (with Juan-Pedro Gómez and Richard Priestley), Journal of Economic Dynamics & Control, 2012, Volume 36, Number 10, 1600-1625.
  • Do hedge funds manage their reported returns? (with Naveen D. Daniel and Narayan Y. Naik), The Review of Financial Studies, 2011, Volume 24, Number 10, 3281-3320.
  • Risk and return in convertible arbitrage: Evidence from the convertible bond market (with William H. Fung, Yee Cheng Loon, and N.Y. Naik), Journal of Empirical Finance, 2011, Volume 18, Issue 2, 175-194 (Lead Article).
  • The role of hedge funds as primary lenders (with Costanza Meneghetti), Review of Derivatives Research, 2011, Volume 14, Number 2, 241-261.
  • 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.
  • 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.
  • On the relative performance of multi-strategy and funds of hedge funds (with Jayant R. Kale), Journal of Investment Management, 2007, Volume 5, Number 3, 41-63.
  • Hedge funds (with Narayan Y. Naik), Foundations and Trends in Finance, 2005, Volume 1, Number 2, pp. 103-170.
  • Risks and portfolio decisions involving hedge funds (with Narayan Y. Naik), Review of Financial Studies, 2004, Volume 17, Number 1, pp. 63-98.
  • Multi-period performance persistence analysis of hedge funds (with Narayan Y. Naik), Journal of Financial and Quantitative Analysis, 2000, Volume 35, Number 3, pp. 327-342.
  • Generalized style analysis of hedge funds (with Narayan Y. Naik), Journal of Asset Management, 2000, Volume 1, Number 1, pp. 93-109.
  • On taking the alternative route: Risks, rewards, and performance persistence of hedge funds (with Narayan Y. Naik), Journal of Alternative Investments, Spring 2000, Vol. 2, Number 4, pp. 6-23.