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Tournament behavior in Australian superannuation funds: A non-parametric analysis

  • Hallahan, Terrence
  • Faff, Robert

Taylor's [Taylor, J. (2003). Risk-taking behavior in mutual fund tournaments, Journal of Economic Behavior and Organisation 50, 373-383] extension of the tournament model of Brown et al. [Brown, K. C., Harlow, W. V., Starks, L. T. (1996). Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry, Journal of Finance 15, 85-110] proposes that using an exogenous (endogenous) benchmark, will induce losing (winning) managers to gamble. This presents two competing testable hypotheses that are investigated in the current study. We use a sample period covering 1989 to 2001 of Australian multi-sector growth funds. We apply the non-parametric Cross-Product Ratio methodology. Generally, we find evidence in support of Taylor's model.

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Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 19 (2009)
Issue (Month): 3 ()
Pages: 307-322

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Handle: RePEc:eee:glofin:v:19:y:2009:i:3:p:307-322
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