Risk Shifting and Mutual Fund Performance

被引:190
作者
Huang, Jennifer [1 ,3 ]
Sialm, Clemens [1 ,4 ]
Zhang, Hanjiang [2 ]
机构
[1] Univ Texas Austin, McCombs Sch Business, Austin, TX 78712 USA
[2] Nanyang Technol Univ, Nanyang Business Sch, Singapore 639798, Singapore
[3] Cheung Kong Grad Sch Business, Beijing, Peoples R China
[4] NBER, Cambridge, MA 02138 USA
关键词
G11; G23; G32; INCENTIVE FEES; HEDGE FUND; COMPENSATION; FLOWS; TOURNAMENTS; VOLATILITY; LIQUIDITY; DYNAMICS; STOCKS; COSTS;
D O I
10.1093/rfs/hhr001
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Mutual funds change their risk levels significantly over time. Risk shifting might be caused by ill-motivated trades of unskilled or agency-prone fund managers who trade to increase their personal compensation. Alternatively, risk shifting might occur when skilled fund managers trade to take advantage of their stock selection and timing abilities. This article investigates the performance consequences of risk shifting and sheds light on the mechanisms and the economic motivations behind risk-shifting behavior. Using a holdings-based measure of risk shifting, we find that funds that increase risk perform worse than funds that keep stable risk levels over time, suggesting that risk shifting either is an indication of inferior ability or is motivated by agency issues.
引用
收藏
页码:2575 / 2616
页数:42
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