| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2779 |
| DP2779 Risk Return and Portfolio Allocation under Alternative Pension Systems with Imperfect Financial Markets | |
| David Miles; Ales Cerny | |
| 发表日期 | 2001-05-29 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | There is now extensive empirical evidence showing that fund managers have relative performance objectives and adapt their investment strategy in the last part of the calendar year to balance their performance in the early part of the year. However, emphasis was put on returns in excess of some exogenous benchmark return. In this Paper, we investigate whether fund managers have ranking objectives (as in a tournament). First, in a two-period model, we analyse the game played by two risk-neutral fund managers with ranking objectives. We show that ranking objectives provide incentives for an interim loser to increase risk in the last part of the year. In the second part of the Paper, we test some predictions of the model. We find evidence that funds ranked in the top decile after the first part of the year have risk incentives generated by ranking objectives and that risk induced by ranking objectives is mainly systematic. |
| 主题 | Financial Economics |
| 关键词 | Ranking-based objectives Interim performance Risk-taking incentives |
| URL | https://cepr.org/publications/dp2779 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531841 |
| 推荐引用方式 GB/T 7714 | David Miles,Ales Cerny. DP2779 Risk Return and Portfolio Allocation under Alternative Pension Systems with Imperfect Financial Markets. 2001. |
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