So, he grabbed the famous Wanamaker Trophy -- given to the winner of the major -- jumped in a nearby taxi and headed to a nightclub where he knew his friends were.
When Hagen arrived at the club and to avoid lumbering around with the 27-pound trophy, he paid the taxi driver to drop it off at his hotel.
It was the last he saw of the trophy.
The Wanamaker never arrived at his hotel, and although Hagen knew he no longer had it in his possession, he kept that to himself.
At the next year's PGA Championship, when asked to produce the trophy as the returning champion, Hagen said with his typical bravado: "I will win it anyway, so I didn't bring it."
Sure enough, he did win it. And in 1927, he won it for the fourth time in a row. It was only in 1928, when he was knocked out by Leo Diegel, that he was forced to admit he no longer had the trophy in his possession.
A replacement was made, before the original mysteriously turned up 1931.
Hagen was born into a "blue-collar family" in 1892 in Rochester, New York, explains Tom Clavin, author of 'Sir Walter: Walter Hagen and the Invention of Professional Golf.'
Hagen's early days in golf were spent as a caddie at the Country Club of Rochester.
By his mid-teens, Hagen was a proficient player and was helping at the pro shop at the club. He made his professional debut at age 19 at the 1912 Canadian Open.
Playing in his debut major -- the 1913 U.S. Open -- Hagen shocked many when he finished tied for fourth. But upon his return to Rochester, he came with tales of mistreatment from the other professionals.
"They pushed me off the tee and told me I could practice when they got through," he said.
So he made a promise to them. "I'm going back next year and win that tournament."
And he did just that.