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Empirical evidences on risk-taking a...

Lu, Jingchang.

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Empirical evidences on risk-taking and performance of mutual fund.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Empirical evidences on risk-taking and performance of mutual fund./
作者:	Lu, Jingchang.
面頁冊數:	67 p.
附註:	Source: Masters Abstracts International, Volume: 48-06, page: 3363.
Contained By:	Masters Abstracts International48-06.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1478226
ISBN:	9781124081106

Empirical evidences on risk-taking and performance of mutual fund.
Lu, Jingchang.

Empirical evidences on risk-taking and performance of mutual fund. - 67 p.

Source: Masters Abstracts International, Volume: 48-06, page: 3363.

Thesis (M.Sc.)--Singapore Management University (Singapore), 2009.

This paper examines the relationship between performance and risk exposure for mutual funds. The preliminary analysis fails to support the tournament hypothesis, which predicts that poorly performing managers will increase risk exposure while outperforming managers will decrease risk exposure. Instead, we find evidence of risk reduction for extreme losers and risk increase for winning managers. Besides, the risk-taking fails to align manager interest with shareholder interest since the returns from the risk enhancement by winners and the risk reduction by losers is relatively worse than those with contradictory strategies. Overall, the competition among fund managers appears to affect management risk choice, and in turn has an effect on future performance. However, the effect of shifting risk on fund performance and the approach of altering portfolio risk vary with fund style and prior performance.

ISBN: 9781124081106Subjects--Topical Terms:

626650
Economics, Finance.

Empirical evidences on risk-taking and performance of mutual fund.
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035 $a (UMI)AAI1478226
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100 1 $a Lu, Jingchang. $3 1674989
245 1 0 $a Empirical evidences on risk-taking and performance of mutual fund.
300 $a 67 p.
500 $a Source: Masters Abstracts International, Volume: 48-06, page: 3363.
500 $a Adviser: Joe Zhang.
502 $a Thesis (M.Sc.)--Singapore Management University (Singapore), 2009.
520 $a This paper examines the relationship between performance and risk exposure for mutual funds. The preliminary analysis fails to support the tournament hypothesis, which predicts that poorly performing managers will increase risk exposure while outperforming managers will decrease risk exposure. Instead, we find evidence of risk reduction for extreme losers and risk increase for winning managers. Besides, the risk-taking fails to align manager interest with shareholder interest since the returns from the risk enhancement by winners and the risk reduction by losers is relatively worse than those with contradictory strategies. Overall, the competition among fund managers appears to affect management risk choice, and in turn has an effect on future performance. However, the effect of shifting risk on fund performance and the approach of altering portfolio risk vary with fund style and prior performance.
520 $a Keywords: mutual fund, tournament hypothesis, risk-taking, fund performance
590 $a School code: 1583.
650 4 $a Economics, Finance. $3 626650
650 4 $a Business Administration, Banking. $3 1018458
690 $a 0508
690 $a 0770
710 2 $a Singapore Management University (Singapore). $b Lee Kong Chian School of Business. $3 1674990
773 0 $t Masters Abstracts International $g 48-06.
790 1 0 $a Zhang, Joe, $e advisor
790 $a 1583
791 $a M.Sc.
792 $a 2009
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1478226