Risk-taking and performance of government bond mutual funds

被引:2
作者
Kim, Donghyun [1 ]
Li, Chengcheng [2 ]
Wang, Xiaoqiong [3 ]
机构
[1] Chung Ang Univ, Sch Business Adm, Seoul, South Korea
[2] Dongbei Univ Finance & Econ, Sch Finance, Dalian, Peoples R China
[3] Indiana Univ Kokomo, Sch Business, Kokomo, IN USA
基金
中国国家自然科学基金;
关键词
Government bond funds; Incentives; Risk-taking; Performance; Fund flows; INVESTOR FLOWS;
D O I
10.1016/j.irfa.2021.101780
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper investigates the risk exposures of government bond mutual funds and how risk-taking behavior affects fund performance. Government bond mutual funds often outperform their respective benchmark bond indexes before but not after adjusting for bond market risk factors. We show that the risk-taking behavior of fund managers helps to explain the different performances of government bond funds with and without controlling for the risk factors. Our results suggest that risk-taking leads to higher returns relative to benchmarks in normal risk periods but lower returns in high risk periods, suggesting that fund managers consistently take risky bets in fund management. We further show that the risk-taking of government bond funds is persistent and that investors typically have no ability to differentiate between the skill and risk components of fund performance. These findings suggest why fund managers have incentives to take consistently risky positions.
引用
收藏
页数:17
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