Are fund managers rewarded for taking cyclical risks?
Author
Abstract
Suggested Citation
DOI: 10.1016/j.finmar.2024.100893
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Aikman, David & Nelson, Benjamin & Tanaka, Misa, 2015.
"Reputation, risk-taking, and macroprudential policy,"
Journal of Banking & Finance, Elsevier, vol. 50(C), pages 428-439.
- Aikman, David & Nelson, Benjamin & Tanaka, Misa, 2012. "Reputation, risk-taking and macroprudential policy," Bank of England working papers 462, Bank of England.
- Raghuram G. Rajan, 1994. "Why Bank Credit Policies Fluctuate: A Theory and Some Evidence," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 109(2), pages 399-441.
- Dimitris Christelis & Dimitris Georgarakos & Michael Haliassos, 2013.
"Differences in Portfolios across Countries: Economic Environment versus Household Characteristics,"
The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 220-236, March.
- Michael, Haliassos & Dimitris, Christelis & Dimitris, Georgarakos, 2010. "Differences in Portfolios across Countries: Economic Environment versus Household Characteristics," MEA discussion paper series 10204, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
- Haliassos, Michael & Georgarakos, Dimitris, 2010. "Differences in Portfolios across Countries: Economic Environment versus Household Characteristics," CEPR Discussion Papers 8017, C.E.P.R. Discussion Papers.
- Chevalier, Judith & Ellison, Glenn, 1997.
"Risk Taking by Mutual Funds as a Response to Incentives,"
Journal of Political Economy, University of Chicago Press, vol. 105(6), pages 1167-1200, December.
- Judith A. Chevalier & Glenn D. Ellison, 1995. "Risk Taking by Mutual Funds as a Response to Incentives," NBER Working Papers 5234, National Bureau of Economic Research, Inc.
- Chevalier, J. & Ellison, G., 1996. "Risk Taking by Mutual Funds as a Response to Incentives," Working papers 96-3, Massachusetts Institute of Technology (MIT), Department of Economics.
- repec:bla:jfinan:v:53:y:1998:i:5:p:1589-1622 is not listed on IDEAS
- Jiaping Qiu, 2003. "Termination Risk, Multiple Managers and Mutual Fund Tournaments," Review of Finance, European Finance Association, vol. 7(2), pages 161-190.
- Kevin C. Murdock & Thomas F. Hellmann & Joseph E. Stiglitz, 2000. "Liberalization, Moral Hazard in Banking, and Prudential Regulation: Are Capital Requirements Enough?," American Economic Review, American Economic Association, vol. 90(1), pages 147-165, March.
- Gabriele La Spada, 2018. "Do Low Rates Encourage Yield Seeking by Money Market Funds?," Liberty Street Economics 20180307, Federal Reserve Bank of New York.
- Brad M. Barber & Xing Huang & Terrance Odean, 2016. "Which Factors Matter to Investors? Evidence from Mutual Fund Flows," The Review of Financial Studies, Society for Financial Studies, vol. 29(10), pages 2600-2642.
- Goldstein, Itay & Jiang, Hao & Ng, David T., 2017. "Investor flows and fragility in corporate bond funds," Journal of Financial Economics, Elsevier, vol. 126(3), pages 592-613.
- Stephan Jank & Michael Wedow, 2013.
"Purchase and redemption decisions of mutual fund investors and the role of fund families,"
The European Journal of Finance, Taylor & Francis Journals, vol. 19(2), pages 127-144, February.
- Jank, Stephan & Wedow, Michael, 2010. "Purchase and redemption decisions of mutual fund investors and the role of fund families," Discussion Paper Series 2: Banking and Financial Studies 2010,03, Deutsche Bundesbank.
- Jank, Stephan & Wedow, Michael, 2010. "Purchase and redemption decisions of mutual fund investors and the role of fund families," CFR Working Papers 10-13, University of Cologne, Centre for Financial Research (CFR).
- Spiegel, Matthew & Zhang, Hong, 2013. "Mutual fund risk and market share-adjusted fund flows," Journal of Financial Economics, Elsevier, vol. 108(2), pages 506-528.
- Yong Chen & Nan Qin, 2017. "The Behavior of Investor Flows in Corporate Bond Mutual Funds," Management Science, INFORMS, vol. 63(5), pages 1365-1384, May.
- Ferreira, Miguel A. & Keswani, Aneel & Miguel, Antonio F. & Ramos, Sofia B., 2012. "The flow-performance relationship around the world," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1759-1780.
- Francesco A. Franzoni & Martin C. Schmalz, 2013. "Fund Flows and Market States," Swiss Finance Institute Research Paper Series 13-41, Swiss Finance Institute, revised Jun 2017.
- Chen, Qi & Goldstein, Itay & Jiang, Wei, 2010. "Payoff complementarities and financial fragility: Evidence from mutual fund outflows," Journal of Financial Economics, Elsevier, vol. 97(2), pages 239-262, August.
- Berkowitz, Michael K. & Kotowitz, Yehuda, 2000. "Investor risk evaluation in the determination of management incentives in the mutual fund industry," Journal of Financial Markets, Elsevier, vol. 3(4), pages 365-387, November.
- Jaewon Choi & Mathias Kronlund, 2018. "Reaching for Yield in Corporate Bond Mutual Funds," The Review of Financial Studies, Society for Financial Studies, vol. 31(5), pages 1930-1965.
- Rochet, Jean-Charles, 1992. "Capital requirements and the behaviour of commercial banks," European Economic Review, Elsevier, vol. 36(5), pages 1137-1170, June.
- Francesco Franzoni & Martin C. Schmalz, 2017. "Fund Flows and Market States," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2621-2673.
- Shujing Li & Jiaping Qiu, 2014. "Financial Product Differentiation over the State Space in the Mutual Fund Industry," Management Science, INFORMS, vol. 60(2), pages 508-520, February.
- 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, vol. 51(1), pages 85-110, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ryan, Ellen, 2022. "Are fund managers rewarded for taking cyclical risks?," ESRB Working Paper Series 134, European Systemic Risk Board.
- Ryan, Ellen, 2022. "Are fund managers rewarded for taking cyclical risks?," Working Paper Series 2652, European Central Bank.
- Jannic Cutura & Gianpaolo Parise & Andreas Schrimpf, 2020.
"Debt De-risking,"
BIS Working Papers
868, Bank for International Settlements.
- Parise, Gianpaolo & Cutura, Jannic & Schrimpf, Paul, 2020. "Debt De-risking," CEPR Discussion Papers 14817, C.E.P.R. Discussion Papers.
- Fulkerson, Jon A. & Riley, Timothy B., 2019. "Portfolio concentration and mutual fund performance," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 1-16.
- Jennifer Huang & Kelsey D. Wei & Hong Yan, 2022. "Investor learning and mutual fund flows," Financial Management, Financial Management Association International, vol. 51(3), pages 739-765, September.
- Hodula, Martin & Szabo, Milan & Bajzík, Josef, 2024.
"Retail fund flows and performance: Insights from supervisory data,"
Emerging Markets Review, Elsevier, vol. 59(C).
- Martin Hodula & Milan Szabo & Josef Bajzik, 2022. "Retail Fund Flows and Performance: Insights from Supervisory Data," Working Papers 2022/10, Czech National Bank.
- Ha, Yeonjeong & Ko, Kwangsoo, 2017. "Why do fund managers increase risk?," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 108-116.
- Kim, Donghyun & Li, Chengcheng & Wang, Xiaoqiong, 2021. "Risk-taking and performance of government bond mutual funds," International Review of Financial Analysis, Elsevier, vol. 76(C).
- James Brugler & Minsoo Kim & Zhuo Zhong, 2024. "Liquidity shocks and pension fund performance: Evidence from early access," Australian Journal of Management, Australian School of Business, vol. 49(2), pages 170-191, May.
- Philippe van der Beck & Jean-Philippe Bouchaud & Dario Villamaina, 2024. "Ponzi Funds," Papers 2405.12768, arXiv.org.
- Koo, Minjae & Muslu, Volkan, 2023. "Fund Flows and Asset Valuations of Bond Mutual Funds: Effect of Side-by-Side Management," Journal of Banking & Finance, Elsevier, vol. 154(C).
- Wang, Wei & Li, Lin, 2024. "Digital payment, money market fund and investment behavior," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
- Milan Szabo, 2022.
"Meeting investor outflows in Czech bond and equity funds: horizontal or vertical?,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(4), pages 1123-1151, November.
- Milan Szabo, 2022. "Meeting Investor Outflows in Czech Bond and Equity Funds: Horizontal or Vertical?," Working Papers 2022/6, Czech National Bank.
- Dasgupta, Amil & Choi, Jaewon & Oh, Ji Yeol Jimmy, 2019.
"Bond Funds and Credit Risk,"
CEPR Discussion Papers
14134, C.E.P.R. Discussion Papers.
- Choi, Jaewon & Dasgupta, Amil & Oh, Ji, 2022. "Bond funds and credit risk," LSE Research Online Documents on Economics 118856, London School of Economics and Political Science, LSE Library.
- Raphaëlle BELLANDO & Laura-Dona CAPOTA & Sébastien GALANTI, 2019. "The impact of return shocks on mutual funds’ flows: an empirical study of French bond mutual funds," LEO Working Papers / DR LEO 2730, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Noam Ben-Ze'ev, 2023. "Drivers of Flows-Performance Sensitivity in Mutual Funds," Bank of Israel Working Papers 2023.06, Bank of Israel.
- Fricke, Christoph & Fricke, Daniel, 2021.
"Vulnerable asset management? The case of mutual funds,"
Journal of Financial Stability, Elsevier, vol. 52(C).
- Fricke, Christoph & Fricke, Daniel, 2017. "Vulnerable asset management? The case of mutual funds," Discussion Papers 32/2017, Deutsche Bundesbank.
- Rakowski, David & Yamani, Ehab, 2021. "Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 247-271.
- Omori, Kozo & Kitamura, Tomoki, 2023. "Investor response to Morningstar's ratings, category information, and alpha in the Japanese mutual fund market," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Goldstein, Itay & Jiang, Hao & Ng, David T., 2017. "Investor flows and fragility in corporate bond funds," Journal of Financial Economics, Elsevier, vol. 126(3), pages 592-613.
More about this item
Keywords
Financial stability; Investment funds; Incentive; Risk-taking; Macroprudential policy;All these keywords.
JEL classification:
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finmar:v:68:y:2024:i:c:s1386418124000119. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/finmar .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.