| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14903 |
| 来源ID | Working Paper 14903 |
| Risk Shifting and Mutual Fund Performance | |
| Jennifer Huang; Clemens Sialm; Hanjiang Zhang | |
| 发表日期 | 2009-04-16 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | Mutual funds change their risk levels significantly over time. This paper investigates the performance consequences of risk shifting, as well as the economic motivations and the mechanisms of risk shifting. Using a holdings-based measure of risk shifting, we find that funds that increase risk perform worse than funds that keep stable risk levels over time. In addition, funds that expect higher benefits from risk shifting are more likely to increase risk and perform particularly poorly after increasing risk. Our results are consistent with the notion that agency problems, rather than the ability to take advantage of changing investment opportunities, are the likely motivation behind risk shifting behavior. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w14903 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572579 |
| 推荐引用方式 GB/T 7714 | Jennifer Huang,Clemens Sialm,Hanjiang Zhang. Risk Shifting and Mutual Fund Performance. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14903.pdf（318KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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