| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8072 |
| DP8072 Difference in Interim Performance and Risk Taking with Short-Sale Constraints | |
| Suleyman Basak; Dmitry Makarov | |
| 发表日期 | 2010-10-23 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | Absent much theory, empirical works often rely on the following informal reasoning when looking for evidence of a mutual fund tournament: If there is a tournament, interim winners have incentives to decrease their portfolio volatility as they attempt to protect their lead, while interim losers are expected to increase their volatility so as to catch up with winners. We consider a rational model of a mutual fund tournament in the presence of short-sale constraints and find the opposite - interim winners choose more volatile portfolios in equilibrium than interim losers. Several empirical works present evidence consistent with our model, however based on the above informal argument they appear to conclude against the tournament behavior. We argue that this conclusion is unwarranted. We also demonstrate that tournament incentives lead to differences in interim performance for otherwise identical managers, and that mid-year trading volume is inversely related to mid-year stock return. |
| 主题 | Financial Economics |
| 关键词 | Mutual fund tournament Portfolio choice Relative performance Risk-taking incentives Short-sale constraints |
| URL | https://cepr.org/publications/dp8072 |
| 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/536909 |
| 推荐引用方式 GB/T 7714 | Suleyman Basak,Dmitry Makarov. DP8072 Difference in Interim Performance and Risk Taking with Short-Sale Constraints. 2010. |
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