George O. Aragon is an associate professor of finance at the W. P. Carey School of Business with Arizona State University. His research interests include the structure, efficiency and risk management practices of the financial services industry, including hedge funds and mutual funds.
He has published articles in theJournal of Financial Economics, the Review of Financial Studies, and Journal of Financial and Quantitative Analysis, among others. In addition, he served as as a visiting academic scholar at the U.S. Securities and Exchange Commission.
- “Liquidity transformation and financial fragility: evidence from funds of hedge funds” forthcoming in Journal of Financial and Quantitative Analysis, 2018. (with Vikas Agarwal and Zhen Shi)
- “The use of credit default swaps by bond mutual funds: liquidity provision and counterparty risk” forthcoming in Journal of Financial Economics, 2017. (with Lei Li and Jun Qian)
- “Who benefits in a crisis? Evidence from hedge fund stock and option holdings” forthcoming in Journal of Financial Economics, 2017. (with J. Spencer Martin and Zhen Shi)
- “Strategic delays and clustering in hedge fund reported returns” Journal of Financial and Quantitative Analysis, February 2017, 52: 1-35. (with Vikram Nanda)
- “Onshore and offshore hedge funds: are they twins?” Management Science, January 2014, 60: 74-91. (with Bing Liang and Hyuna Park)
- “Why do hedge funds avoid disclosure? Evidence from confidential 13f filings” Journal of Financial and Quantitative Analysis, October 2013, 48: 1499-1518. (with Michael Hertzel and Zhen Shi)
- “A unique view of hedge fund derivatives usage: safeguard or speculation?” Journal of Financial Economics, August 2012, 105: 436-456. (with J. Spencer Martin). Supported by a research grant from the Foundation for Managed Derivatives Research
- “Tournament behavior in hedge funds: high-water marks, fund liquidation, and managerial stake” Review of Financial Studies, March 2012, 25: 937-974. (with Vikram Nanda). Supported by a research grant from The Institute for Quantitative Research in Finance
- “Hedge funds as liquidity providers: evidence from the lehman bankruptcy” Journal of Financial Economics, March 2012, 103: 570-587. (with Philip E. Strahan)
- “Stock market trading activity and returns around milestones” Journal of Empirical Finance, September 2011, 18: 570-584. (with Stephan Dieckmann)
- “Share restrictions and asset pricing: evidence from the hedge fund industry” Journal of Financial Economics, January 2007, 83: 33-58. Supported by a research grant from the Foundation for Managed Derivatives Research.
Working papers and current projects:
- “Do Properly Anticipated Prices Fluctuate Randomly? Evidence from Vix Futures” with Rajnish Mehra and Sunil Wahal.
- “Hedge Fund Liquidity Management” with Tolga Ergun, Mila Getmansky, and Giulio Girardi.
- “Corruption Perceptions and Capital Fragility: Evidence from Hedge Funds around the World” with Vikram Nanda and Haibei Zhao.
- Fire Sale Risk and Expected Stock Returns, with Min Kim.
- “High-Water Marks and Hedge Fund Compensation” with Lei Li and Jun Qian.