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Compétition entre gérants de fonds : prise de risque et effort

Author

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  • Huyen Nguyen-Thi-Thanh
  • Duc-De Ngo
  • Franceline Mercurelli

Abstract

This article investigates the way that mutual fund managers respond to the incentives induced by ranking objectives in order to maximize their year-end revenues. In addition to shifting their portfolio?s riskiness, managers can modify their level of effort. The existence of several possible combinations of risk-effort provides a new insight into contradictory conclusions obtained in the literature. We show that the ?gamble for resurrection? behavior happens only when the effort cost is sufficiently high. For the other situations, winners and losers adopt the same combinations of risk-effort. In many cases, a high level of risk is associated with a high level of effort. Empirical verifications conducted on a sample of US mutual funds corroborate our principal theoretical predictions. Classification JEL : G11, G23.

Suggested Citation

  • Huyen Nguyen-Thi-Thanh & Duc-De Ngo & Franceline Mercurelli, 2017. "Compétition entre gérants de fonds : prise de risque et effort," Revue économique, Presses de Sciences-Po, vol. 68(4), pages 595-622.
    • Handle: RePEc:cai:recosp:reco_684_0595
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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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