Chasing hot funds: The effects of relative performance on portfolio choice

被引：8

作者：

Bagnoli, M ^{[1
]}

Watts, SG ^{[1
]}

机构：

[1] Purdue Univ, Krannert Grad Sch Management, W Lafayette, IN 47907 USA

来源：

FINANCIAL MANAGEMENT | 2000年 / 29卷 / 03期

关键词：

D O I：

10.2307/3666228

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the way in which SEC restrictions on fund manager compensation affect portfolio choice when investors buy into funds whose recent performance has been good. We find that fund managers choose riskier portfolios than they would if there were no contracting restrictions and that these portfolios are riskier than the optimal risky portfolio. Further, if investors choose funds according to performance rank rather than Performance relative to the average, these effects are exacerbated-fund managers choose even riskier portfolios. Thus, our analysis suggests a need to provide investors with information about risk-adjusted performance.

引用

页码：31 / 50

页数：20

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