Risk taking by mutual funds as a response to incentives
Risk taking by mutual funds as a response to incentives
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DOI：
10.1086/516389
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发表时间：
1997-12-01
影响因子：
8.2
通讯作者：
Ellison, G
中科院分区：
文献类型：
--
作者：
Chevalier, J;Ellison, G
本文研究了共同基金投资者与共同基金公司之间的潜在代理冲突。投资者希望该基金公司利用其判断来最大化风险调整后的基金收益。但是，一家基金公司希望最大限度地将其作为关注的价值，它具有动力来采取增加投资流入的行动。我们使用半参数模型来估计1982 - 92年期间观察到的生长，增长和收入基金样本的流动性关系形状。流动性关系的形状为基金经理增加或降低基金的风险取决于基金的年度回报而激励。我们在9月和12月研究了共同基金的投资组合持有，并表明共同基金在年底以与这些激励措施一致的方式改变了其投资组合的风险。
This paper examines a potential agency conflict between mutual fund investors and mutual fund companies. Investors would like the fund company to use its judgment to maximize risk-adjusted fund returns. A fund company, however, in its desire to maximize its value as a concern, has an incentive to take actions that increase the inflow of investments. We use a semiparametric model to estimate the shape of the flow-performance relationship for a sample of growth and growth and income funds observed over the 1982-92 period. The shape of the flow-performance relationship creates incentives for fund managers to increase or decrease the riskiness of the fund that are dependent on the fund's year-to-date return. We examine portfolio holdings of mutual funds in September and December and show that mutual funds do alter the riskiness of their portfolios at the end of the year in a manner consistent with these incentives.