| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP12285
|
| DP12285 Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows |
| Ron Kaniel
|
| 发表日期 | 2017-09-08
|
| 出版年 | 2017
|
| 语种 | 英语
|
| 摘要 | We present a model with dynamic investment flows, where fund managers have the ability to
generate excess returns and study how forcing them to commit part or all of their personal wealth
to the fund they manage affects fund risk taking. We contrast the behavior of a manager that
may invest her personal wealth in a private account to a manager that is either forced to commit
her wealth to the fund she manages, or a manager who is not allowed to hold risky assets held
by the fund privately. We show that a fund managed by a manager with higher ability does
not necessarily achieve higher expected returns but achieves lower idiosyncratic volatility. For a
manager with constant ability, restrictions placed on her personal account do not influence her
choices in the fund, while for a manager whose ability varies stochastically they result in higher
expected returns and idiosyncratic volatilities. Fund strategies can be non-monotone both in the
manager’s commitment level and the ratio of manager to investor wealth. Our results are robust
to incomplete information and to competing managers with correlated ability. |
| 主题 | Financial Economics
|
| 关键词 | Mutual fund
Portfolio
Flows
Commitment
|
| URL | https://cepr.org/publications/dp12285
|
| 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/541096
|
推荐引用方式
GB/T 7714 |
Ron Kaniel. DP12285 Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows. 2017.
|
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