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.
机构:
Arizona State Univ, WP Carey Sch Business, 400 E Lemon St, Tempe, AZ 85281 USAArizona State Univ, WP Carey Sch Business, 400 E Lemon St, Tempe, AZ 85281 USA
Aragon, George O.
Li, Lei
论文数: 0引用数: 0
h-index: 0
机构:
Fed Reserve Board, Constitut Ave & 20th St NW, Washington, DC 20551 USAArizona State Univ, WP Carey Sch Business, 400 E Lemon St, Tempe, AZ 85281 USA
Li, Lei
Qian, Jun QJ
论文数: 0引用数: 0
h-index: 0
机构:
Fudan Univ, Fanhai Int Sch Finance, 10-11F Oriental Int Financial Plaza, Shanghai, Peoples R ChinaArizona State Univ, WP Carey Sch Business, 400 E Lemon St, Tempe, AZ 85281 USA
机构:
Stanford Univ, Grad Sch Business, Knight Management Ctr, Stanford, CA 94305 USA
NBER, Cambridge, MA 02138 USAStanford Univ, Grad Sch Business, Knight Management Ctr, Stanford, CA 94305 USA
Berk, Jonathan B.
van Binsbergen, Jules H.
论文数: 0引用数: 0
h-index: 0
机构:
NBER, Cambridge, MA 02138 USA
Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA
Tilburg Univ, NL-5000 LE Tilburg, NetherlandsStanford Univ, Grad Sch Business, Knight Management Ctr, Stanford, CA 94305 USA
机构:
Virginia Tech, Pamplin Coll Business, Blacksburg, VA 24061 USAVirginia Tech, Pamplin Coll Business, Blacksburg, VA 24061 USA
Chen, Yong
Person, Wayne
论文数: 0引用数: 0
h-index: 0
机构:
Univ So Calif, Marshall Sch Business, Los Angeles, CA 90089 USA
NBER, Cambridge, MA 02138 USAVirginia Tech, Pamplin Coll Business, Blacksburg, VA 24061 USA
Person, Wayne
Peters, Helen
论文数: 0引用数: 0
h-index: 0
机构:
Boston Coll, Carroll Sch Management, Chestnut Hill, MA 02467 USAVirginia Tech, Pamplin Coll Business, Blacksburg, VA 24061 USA
机构:
Arizona State Univ, WP Carey Sch Business, 400 E Lemon St, Tempe, AZ 85281 USAArizona State Univ, WP Carey Sch Business, 400 E Lemon St, Tempe, AZ 85281 USA
Aragon, George O.
Li, Lei
论文数: 0引用数: 0
h-index: 0
机构:
Fed Reserve Board, Constitut Ave & 20th St NW, Washington, DC 20551 USAArizona State Univ, WP Carey Sch Business, 400 E Lemon St, Tempe, AZ 85281 USA
Li, Lei
Qian, Jun QJ
论文数: 0引用数: 0
h-index: 0
机构:
Fudan Univ, Fanhai Int Sch Finance, 10-11F Oriental Int Financial Plaza, Shanghai, Peoples R ChinaArizona State Univ, WP Carey Sch Business, 400 E Lemon St, Tempe, AZ 85281 USA
机构:
Stanford Univ, Grad Sch Business, Knight Management Ctr, Stanford, CA 94305 USA
NBER, Cambridge, MA 02138 USAStanford Univ, Grad Sch Business, Knight Management Ctr, Stanford, CA 94305 USA
Berk, Jonathan B.
van Binsbergen, Jules H.
论文数: 0引用数: 0
h-index: 0
机构:
NBER, Cambridge, MA 02138 USA
Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA
Tilburg Univ, NL-5000 LE Tilburg, NetherlandsStanford Univ, Grad Sch Business, Knight Management Ctr, Stanford, CA 94305 USA
机构:
Virginia Tech, Pamplin Coll Business, Blacksburg, VA 24061 USAVirginia Tech, Pamplin Coll Business, Blacksburg, VA 24061 USA
Chen, Yong
Person, Wayne
论文数: 0引用数: 0
h-index: 0
机构:
Univ So Calif, Marshall Sch Business, Los Angeles, CA 90089 USA
NBER, Cambridge, MA 02138 USAVirginia Tech, Pamplin Coll Business, Blacksburg, VA 24061 USA
Person, Wayne
Peters, Helen
论文数: 0引用数: 0
h-index: 0
机构:
Boston Coll, Carroll Sch Management, Chestnut Hill, MA 02467 USAVirginia Tech, Pamplin Coll Business, Blacksburg, VA 24061 USA