George O. Aragon

Arizona State University (ASU) - Finance Department

W. P. Carey School of Business

PO Box 873906

Tempe, AZ 85287-3906

United States

  • Arizona State University (ASU) - Finance Department

SCHOLARLY PAPERS

26

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229

Scholarly Papers (26)

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1.

Onshore and Offshore Hedge Funds: Are They Twins?

Number of pages: 42 Posted: 06 Mar 2007 Last Revised: 27 Jan 2011
George O. Aragon, Bing Liang and Hyuna Park
Arizona State University (ASU) - Finance Department, University of Massachusetts Amherst - Department of Finance and Brooklyn College - CUNY
Downloads 1,015 (48,684)
Citation 3

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offshore hedge funds, lock-up provision, liquidity risk, master-feeder structure

2.

Volatility Timing Using ETF Options: Evidence from Hedge Funds

Number of pages: 47 Posted: 19 Oct 2022 Last Revised: 25 Mar 2024
George O. Aragon, Shuaiyu Chen and Zhen Shi
Arizona State University (ASU) - Finance Department, Purdue University - Mitchell E. Daniels, Jr. School of Business and Georgia State University
Downloads 944 (53,936)

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Hedge funds, Exchange-traded funds, Options, Volatility timing

3.

Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy

Downloads 898 (57,694)
Citation 76

Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy

Number of pages: 40 Posted: 27 Aug 2009
George O. Aragon and Philip E. Strahan
Arizona State University (ASU) - Finance Department and Boston College - Department of Finance
Downloads 803 (66,135)
Citation 29

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Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy

NBER Working Paper No. w15336
Number of pages: 41 Posted: 15 Sep 2009 Last Revised: 29 May 2022
George O. Aragon and Philip E. Strahan
Arizona State University (ASU) - Finance Department and Boston College - Department of Finance
Downloads 95 (602,653)
Citation 47

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4.

Machine-Learning about ESG Preferences: Evidence from Fund Flows

Number of pages: 60 Posted: 29 Jul 2023 Last Revised: 17 Aug 2024
George O. Aragon and Shuaiyu Chen
Arizona State University (ASU) - Finance Department and Purdue University - Mitchell E. Daniels, Jr. School of Business
Downloads 750 (73,547)
Citation 4

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ESG, Fund flow, Value-added, Machine learning JEL Codes: G10, G23

5.

Responsible Investing: Costs and Benefits for University Endowment Funds

Number of pages: 78 Posted: 07 Sep 2019 Last Revised: 22 Apr 2025
George O. Aragon, Yuxiang Jiang, Juha Joenväärä and Cristian Ioan Tiu
Arizona State University (ASU) - Finance Department, Southwestern University of Finance and Economics (SWUFE), Aalto University School of Business and University at Buffalo
Downloads 729 (76,339)
Citation 2

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Endowments, social responsibility, charitable donations, fund performance

6.

Liquidity Transformation and Financial Fragility: Evidence from Funds of Hedge Funds

Number of pages: 50 Posted: 11 Mar 2015 Last Revised: 15 May 2018
Vikas Agarwal, George O. Aragon and Zhen Shi
Georgia State University - J. Mack Robinson College of Business, Arizona State University (ASU) - Finance Department and Georgia State University
Downloads 606 (96,594)
Citation 12

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funds of hedge funds, liquidity transformation, asset liability management, investor fragility, cash holdings

7.

Why Do Hedge Funds Avoid Disclosure? Evidence from Confidential 13F Filings

AFA 2011 Denver Meetings Paper, Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 47 Posted: 15 Mar 2012 Last Revised: 04 Sep 2013
George O. Aragon, Michael G. Hertzel and Zhen Shi
Arizona State University (ASU) - Finance Department, Arizona State University (ASU) - Finance Department and Georgia State University
Downloads 557 (107,518)
Citation 45

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Disclosure, Hedge Fund Performance, Financial Regulation

8.

Interest Rate Swaps: An Asset Allocation Perspective

Boston College Carroll School of Management Working Paper
Number of pages: 33 Posted: 11 Mar 2002
George O. Aragon
Arizona State University (ASU) - Finance Department
Downloads 530 (114,438)
Citation 2

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Swaps, convexity bias, Eurodollar futures, spanning

9.

High-Water Marks and Hedge Fund Compensation

Number of pages: 46 Posted: 21 Jan 2010
George O. Aragon and Jun "QJ" Qian
Arizona State University (ASU) - Finance Department and Fudan University - International School of Finance (FISF)
Downloads 489 (126,218)
Citation 3

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Hedge Fund, High-Water Mark, Adverse Selection, Illiquidity, Lockup.

10.

Do Prime Brokers Matter in the Search for Informed Hedge Fund Managers?

Management Science, Forthcoming
Number of pages: 54 Posted: 22 Nov 2019 Last Revised: 01 Mar 2022
George O. Aragon, Ji-Woong Chung and Byoung Uk Kang
Arizona State University (ASU) - Finance Department, Korea University and Hong Kong Polytechnic University - School of Accounting and Finance
Downloads 479 (129,284)

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Hedge funds, prime brokers, search frictions, due diligence, funds of funds

11.

On Tournament Behavior in Hedge Funds: High Water Marks, Managerial Horizon, and the Backfilling Bias

Downloads 478 (129,631)

On Tournament Behavior in Hedge Funds: High Water Marks, Managerial Horizon, and the Backfilling Bias

Number of pages: 52 Posted: 18 Mar 2009 Last Revised: 27 Mar 2010
George O. Aragon and Vikram K. Nanda
Arizona State University (ASU) - Finance Department and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 360 (178,039)

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hedge funds, tournaments, risk-taking, backfilling, high-water marks

On Tournament Behavior in Hedge Funds: High Water Marks, Managerial Horizon, and the Backfilling Bias

Number of pages: 52 Posted: 15 Mar 2010
Vikram K. Nanda and George O. Aragon
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Arizona State University (ASU) - Finance Department
Downloads 118 (513,255)

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hedge funds, tournaments, risk-taking, backfilling, high-water marks

12.

Exploration or Exploitation? Hedge Funds in Venture Capital

Number of pages: 50 Posted: 11 Oct 2018 Last Revised: 18 Jan 2023
George O. Aragon, Emma Li and Laura Anne Lindsey
Arizona State University (ASU) - Finance Department, Department of Finance and Arizona State University (ASU) - Finance Department
Downloads 469 (132,698)

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Hedge funds, venture capital, IPO

13.

Hedge Fund Liquidity Management: Insights for Fund Performance and Financial Stability

Number of pages: 54 Posted: 05 Jan 2021 Last Revised: 28 Apr 2025
George O. Aragon, A. Tolga Ergun and Giulio Girardi
Arizona State University (ASU) - Finance Department, Securities and Exchange Commission and Securities and Exchange Commission
Downloads 458 (136,570)
Citation 1

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Liquidity buffer, hedge funds, fund performance, cash, borrowing

14.

Fire Sale Risk and Expected Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 87 Posted: 11 Aug 2020 Last Revised: 28 Jul 2023
George O. Aragon and Min S. Kim
Arizona State University (ASU) - Finance Department and Boston University
Downloads 423 (149,871)

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fire sales, stock returns, ownership, mutual fund, fund flows

15.

Who Benefits in a Crisis? Evidence from Hedge Fund Stock and Option Holdings

Number of pages: 47 Posted: 07 Dec 2016 Last Revised: 01 Jan 2018
George O. Aragon, J. Spencer Martin and Zhen Shi
Arizona State University (ASU) - Finance Department, University of Melbourne - Faculty of Business and Economics and Georgia State University
Downloads 408 (156,234)
Citation 25

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Hedge Funds; Opportunistic Trading; Lockups; Options; Derivatives; Financial Crises

16.

Onshore and Offshore Hedge Funds: Are They Twins?

Number of pages: 53 Posted: 03 Mar 2012
Bing Liang, George O. Aragon and Hyuna Park
University of Massachusetts Amherst - Department of Finance, Arizona State University (ASU) - Finance Department and Brooklyn College - CUNY
Downloads 360 (179,694)
Citation 9

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offshore hedge funds, lock-up provision, liquidity risk, master-feeder structure

17.

Anticipatory Trading Against Distressed Mega Hedge Funds

Number of pages: 74 Posted: 09 Aug 2021 Last Revised: 25 Mar 2025
Vikas Agarwal, George O. Aragon, Vikram K. Nanda and Kelsey D. Wei
Georgia State University - J. Mack Robinson College of Business, Arizona State University (ASU) - Finance Department, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and University of Texas at Dallas
Downloads 335 (194,287)

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Hedge funds, Anticipatory trading, Front-running, Mega hedge funds, Fire sales

18.

Are Hedge Funds Exploiting Climate Concerns?

Number of pages: 38 Posted: 23 Apr 2024
George O. Aragon, Yuxiang Jiang, Juha Joenväärä and Cristian Ioan Tiu
Arizona State University (ASU) - Finance Department, Southwestern University of Finance and Economics (SWUFE), Aalto University School of Business and University at Buffalo
Downloads 333 (195,562)

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19.

Investor Protection and Capital Fragility: Evidence from Hedge Funds Around the World

Review of Financial Studies, forthcoming
Number of pages: 66 Posted: 06 Aug 2018 Last Revised: 07 Feb 2020
George O. Aragon, Vikram K. Nanda and Haibei Zhao
Arizona State University (ASU) - Finance Department, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Lehigh University - College of Business
Downloads 333 (195,562)
Citation 6

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Investor protection, hedge funds, flow-performance, fragility, operational risk

20.

Timing Multiple Markets: Theory and Evidence

Number of pages: 48 Posted: 24 Jul 2003
George O. Aragon
Arizona State University (ASU) - Finance Department
Downloads 331 (196,876)
Citation 3

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Performance Evaluation, Market Timing, Styles, Hedge Funds

21.

The Use of Credit Default Swaps by Bond Mutual Funds: Liquidity Provision and Counterparty Risk

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 48 Posted: 12 Sep 2017 Last Revised: 30 Dec 2017
George O. Aragon, Lei Li and Jun "QJ" Qian
Arizona State University (ASU) - Finance Department, Board of Governors of the Federal Reserve System and Fudan University - International School of Finance (FISF)
Downloads 286 (230,174)
Citation 15

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bond funds, credit default swaps, crisis, liquidity provision, counterparty risk

22.

Strategic Delays and Clustering in Hedge Fund Reported Returns

Downloads 273 (241,546)
Citation 19

Strategic Delays and Clustering in Hedge Fund Reported Returns

Number of pages: 55 Posted: 03 Nov 2014
George O. Aragon and Vikram K. Nanda
Arizona State University (ASU) - Finance Department and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 175 (368,848)
Citation 17

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hedge funds, smoothing, clustering, strategic delay, disclosure

Strategic Delays and Clustering in Hedge Fund Reported Returns

Number of pages: 50 Posted: 15 Aug 2011 Last Revised: 04 Jun 2013
George O. Aragon and Vikram K. Nanda
Arizona State University (ASU) - Finance Department and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 98 (590,330)
Citation 2

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disclosure, hedge funds, clustering, return smoothing

23.

Investor Attention and Mutual Fund Performance 

Number of pages: 67 Posted: 01 Dec 2023 Last Revised: 21 Mar 2025
George O. Aragon, Yuri Tserlukevich, Jonathan Keen and Michael Wymbs
Arizona State University (ASU) - Finance Department, Arizona State University (ASU), Arizona State University (ASU) - Finance Department and affiliation not provided to SSRN
Downloads 184 (353,444)

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mutual funds inflows, market efficiency and investor attention, Mutual funds, attention, size, performance, fees

24.

Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets

Downloads 55 (808,715)
Citation 2

Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets

NBER Working Paper No. w24575
Number of pages: 40 Posted: 07 May 2018 Last Revised: 24 Feb 2023
George O. Aragon, Rajnish Mehra and Sunil Wahal
Arizona State University (ASU) - Finance Department, Arizona State University (ASU) - W.P Carey School of Business, Department of Economics and Arizona State University (ASU) - Finance Department
Downloads 55 (825,200)
Citation 2

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Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets

Posted: 08 May 2018 Last Revised: 25 Mar 2020
George O. Aragon, Rajnish Mehra and Sunil Wahal
Arizona State University (ASU) - Finance Department, Arizona State University (ASU) - W.P Carey School of Business, Department of Economics and Arizona State University (ASU) - Finance Department

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VIX futures, volatility risk premium, mean-reversion, momentum

25.

Portfolio Performance Evaluation

Foundations and Trends in Finance, Vol. 2, No. 2, pp. 83-190, 2006
Number of pages: 108 Posted: 14 Jun 2010
George O. Aragon and Wayne E. Ferson
Arizona State University (ASU) - Finance Department and University of Southern California
Downloads 15 (1,217,715)
Citation 2
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Portfolio performance, mutual fund performance, hedge funds, managed portfolios

26.

Share Restrictions and Asset Pricing: Evidence from the Hedge Fund Industry

Journal of Financial Economics, Vol. 83, pp. 33-58, 2007
Posted: 07 Feb 2006
George O. Aragon
Arizona State University (ASU) - Finance Department

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Liquidity, transactions costs, hedge funds