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Compétition entre fonds et prise de risque excessive : une application empirique au cas français

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Author Info

  • Raphaëlle Bellando

    ()
    (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)

  • Sébastien Ringuedé

    ()
    (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)

Abstract

La théorie du tournoi a été appliquée au domaine de la gestion déléguée de portefeuille pour rendre compte de la compétition que se mènent les fonds de placement afin d'attirer les investisseurs et des prises de risque spécifiques qui pourraient en résulter. Dans cet article, nous évaluons ce phénomène dans le cas français, pour les OPCVM orientés actions françaises sur la période 1999-2004. Nous montrons que les fonds les plus performants au cours des trois premiers trimestres d'une année ont un comportement de prise de risque en fin d'année dépendant de la conjoncture des marchés financiers. Lorsque les marchés sont en phase de hausse, ils augmentent sensiblement le risque systématique de leur portefeuille en fin d'année, en particulier en introduisant dans celui-ci des titres plus risqués. En période de baisse au contraire, les fonds les plus performants n'augmentent pas leur risque systématique.

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Bibliographic Info

Paper provided by HAL in its series Working Papers with number halshs-00451027.

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Date of creation: 2009
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Handle: RePEc:hal:wpaper:halshs-00451027

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Related research

Keywords: prises de risques; fonds de placement; tournoi;

References

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  1. Livio Stracca, 2006. "Delegated Portfolio Management: A Survey Of The Theoretical Literature," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 20(5), pages 823-848, December.
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  11. Jennifer N. Carpenter, 2000. "Does Option Compensation Increase Managerial Risk Appetite?," Journal of Finance, American Finance Association, American Finance Association, vol. 55(5), pages 2311-2331, October.
  12. Brown, Keith C & Harlow, W V & Starks, Laura T, 1996. " Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry," Journal of Finance, American Finance Association, American Finance Association, vol. 51(1), pages 85-110, March.
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  14. Jennifer Carpenter, 1999. "Does Option Compensation Increase Managerial Risk Appetite?," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-076, New York University, Leonard N. Stern School of Business-.
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