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Mutual Fund Tournament in the Taiwan Market: Risk-taking, Turnover, and Investorsf Rewards
Journal of Financial Studies
View Archive Info| Field | Value | |
| Title |
Mutual Fund Tournament in the Taiwan Market: Risk-taking, Turnover, and Investorsf Rewards
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| Creator |
Mei-Chen Lin
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| Description |
This paper studies the risk-shifting behavior and turnover-adjustment behavior of fund managers in Taiwan during 1994 to 2003. Empirical results show that extreme losers tend to reduce their portfolio risk in an attempt to decrease the employment risk and the top winners and near the top winners have a tendency to engage in more risk-taking due to the gwinner take allh phenomenon. Managers in younger funds have more incentives to alter risk than those in entrenched funds. As predicted by the overconfidence theory, losers have the propensity to trade less and winners have the tendency to trade more. In addition, return volatility and turnover volatility critically depend on the market states. In particular, only following bull markets, funds with good (bad) performance have higher propensity to raise (lower) their risk exposure and trade more (less). Such risk-shifting and turnover-adjustment behavior may not be in the best interest of the mutual fund investors since they can hurt their performance when compared to those with contradictory strategies. Key words: Mutual Fund, Tournament, Risk-Adjustment, Turnover Ratio. |
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| Publisher |
Journal of Financial Studies
財務金èžå¸åˆŠ |
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| Date |
2011-06-22
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| Type |
—
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| Format |
application/pdf
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| Identifier |
http://www.jfs.org.tw/index.php/jfs/article/view/2011162
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| Source |
Journal of Financial Studies; Vol 12, No 2 (2004); 87
財務金èžå¸åˆŠ; Vol 12, No 2 (2004); 87 |
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| Language |
—
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