This paper provides an alternative test of Amihud and Mendelson's (1986, Journal of
Financial Economics, 8, 31–35) model using the turnover rate (number of shares traded as a …

This article characterizes the systematic risk exposures of hedge funds using buy-and-hold
and option-based strategies. Our results show that a large number of equity-oriented hedge …

… Naik is grateful for funding from Inquire UK and the European Commission’s TMR program
(network ref. ERBFMRXCT 960054). Agarwal is grateful for financial support from the British …

We use a comprehensive data set of funds‐of‐funds to investigate performance, risk, and
capital formation in the hedge fund industry from 1995 to 2004. While the average fund‐of‐…

Using a comprehensive hedge fund database, we examine the role of managerial incentives
and discretion in hedge fund performance. Hedge funds with greater managerial incentives…

Using a robust bootstrap procedure, we find that top hedge fund performance cannot be
explained by luck, and hedge fund performance persists at annual horizons. Moreover, we show …

… As a result, we felt that it is time to update the monograph published in 2005 [Agarwal and
Naik, 2005]. This update, prepared with the help of new coauthor Kevin Mullally, extends the …

The risk–return characteristics, risk exposures, and performance persistence of various hedge
fund strategies remains an area of interest to alternative asset investors. Using a database …

Using London Stock Exchange data, we test the central implication of the canonical model
of Ho and Stoll (1983) that relative inventory differences determine dealer behavior. We find …

For funds with high incentives and more opportunities to inflate returns, we find that (i) returns
during December are significantly higher than returns during the rest of the year, even after …