Risk Shifting and Mutual Fund Performance

摘要：

Mutual funds change their risk levels significantly over time. This paper investigates whether risk shifting has an impact on fund performance. Using a holdings-based measure of risk shifting, we find that funds that shift risk perform worse than funds that keep stable risk levels over time. This result is consistent with risk shifters having inferior ability or acting opportunistically due to agency conflicts and inconsistent with skilled fund managers taking advantage of changing investment opportunities.

作者: Jennifer Huang Clemens Sialm Hanjiang Zhang

作者单位: McCombs School of Business, University of Texas at Austin, Austin, TX 78712

会议类型: 国际会议

会议名称: 2009年中国金融国际年会

会议地点: 广州

会议语种:英文

页码: 1-51

在线出版日期: 2009-07-07（万方平台首次上网日期，不代表论文的发表时间）