Risk Shifting and Mutual Fund Performance
Reads0
Chats0
TLDR
In this article, the authors investigated the performance consequences of risk shifting, as well as the economic motivations and the mechanisms for risk shifting using a holdings-based measure of risk shifts, and found that funds that increase risk perform worse than funds that keep stable risk levels over time.Abstract:
Mutual funds change their risk levels significantly over time This paper investigates the performance consequences of risk shifting, as well as the economic motivations and the mechanisms of risk shifting 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 In addition, funds that expect higher benefits from risk shifting are more likely to increase risk and perform particularly poorly after increasing risk Our results are consistent with the notion that agency problems, rather than the ability to take advantage of changing investment opportunities, are the likely motivation behind risk shifting behaviorread more
Citations
More filters
Journal ArticleDOI
Risk mitigating versus risk shifting : evidence from banks security trading in crises
TL;DR: In this article, the authors exploit security trading by banks during financial crises, as banks can easily and quickly change their risk exposure within their security portfolio, and they find that less capitalized banks take relatively less risk after financial market stress shocks.
Journal ArticleDOI
The Interaction of Market Risk and Idiosyncratic Risk on Equity Mutual Fund Returns
John Murugesu,Chandra Sakaran +1 more
TL;DR: In this paper, the authors examined the importance of idiosyncratic and systematic risks in explaining equity fund returns in Malaysia and employed partial least squares structural equation modeling (PLS-SEM) to explore if idiosyncratic risk moderates the relationship between market risk and mutual fund returns.
Journal ArticleDOI
FinTech platforms and mutual fund markets
TL;DR: In this article , the authors investigated the influence of FinTech platforms on Chinese mutual fund markets and found that being on the FinTech platform attracts more fund flows relative to those funds that are being distributed only through traditional ways.
Journal ArticleDOI
Private Real Estate Returns, Style Drift, and Procyclical Risk Taking
TL;DR: In this paper, the authors found that development exposure is an important determinant of private real estate returns and market risk exposure and that open-end private real-estate funds have time-varying, procyclical market risk through their development activities.
Journal ArticleDOI
Systemic Risk, Idiosyncratic Risk and Mutual Fund Flows
TL;DR: Wang et al. as mentioned in this paper empirically examined the relation between fund risk and fund managers reward and found that the fund choosing higher risk will not bring decreasing investment cash flow, and the investors generally show a "reward" attitude to high-risk funds.
References
More filters
Journal ArticleDOI
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
Journal ArticleDOI
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
Journal ArticleDOI
On Persistence in Mutual Fund Performance
TL;DR: Using a sample free of survivor bias, this paper showed that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual fund's mean and risk-adjusted returns.
Journal ArticleDOI
The performance of mutual funds in the period 1945–1964
TL;DR: Jensen's Alpha as discussed by the authors is a risk-adjusted measure of portfolio performance that estimates how much a manager's forecasting ability contributes to the fund's returns, based on the theory of the pricing of capital assets by Sharpe (1964), Lintner (1965a) and Treynor (Undated).
Journal ArticleDOI
Liquidity Risk and Expected Stock Returns
Lubos Pastor,Robert F. Stambaugh +1 more
TL;DR: In this article, the authors investigated whether marketwide liquidity is a state variable important for asset pricing and found that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity.