Fund Flows, Performance, Managerial Career Concerns, and Risk-Taking

Ping, Hu; Kale, Jayant R.; Pagani, Marco; Subramanian, Ajay

doi:10.2139/ssrn.1282124

Cited by 38 publications

(35 citation statements)

References 42 publications

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“…Our results thus far are consistent with the prediction of an exchange option model for management contracts and contrast sharply with theories that predict a monotonic (Chen and Pennacchi ()) or U ‐shaped (Hu et al. ()) relation. However, due to employment risk, an exception may occur in the case of extremely negative returns.…”

Section: Empirical Analysissupporting

confidence: 85%

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Do Portfolio Manager Contracts Contract Portfolio Management?

Lee¹,

Trzcinka²,

Venkatesan

2019

The Journal of Finance

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Most mutual fund managers have performance-based contracts. Our theory predicts that mutual fund managers with asymmetric contracts and mid-year performance close to their announced benchmark increase their portfolio risk in the second part of the year. As predicted by our theory, performance deviation from the benchmark decreases risk-shifting only for managers with performance contracts. Deviation from the benchmark dominates incentives from the flow-performance relation, suggesting that risk-shifting is motivated more by management contracts than by a tournament to capture flows.

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Section: Empirical Analysissupporting

confidence: 85%

“…Carpenter (), Chen and Pennacchi (), and Hu et al. () predict that the worst‐performing funds will increase their portfolio risk the most.…”

Section: Empirical Analysismentioning

confidence: 99%

Do Portfolio Manager Contracts Contract Portfolio Management?

Lee¹,

Trzcinka²,

Venkatesan

2019

The Journal of Finance

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“…This result is very robust, not only for the different quantiles but also for the different measurement methods (order-m and order-α) and even for the different trimming parameters considered (m = 75 and m = 150). This inverse relation between age and performance is also found in Hu and Chang (2008) and Hu et al (2011). This would imply that performance decreases with the age of the fund or, in other words, older funds would not necessarily perform better than newer ones.…”

Section: On the Determinants Of Mutual Fund Performance: The Role Of mentioning

confidence: 70%

“…Our methodologies might fit this context particularly well, since an inconclusive link could be related to varying coefficients for the different quantiles of the conditional distribution of performance. Hu and Chang (2008) and Hu et al (2011) find that the expected impact of fund age (F A) is that performance worsens with the age of the fund. However, according to other views such as Chen et al relate to the fact that non-independent managers (i.e.…”

Section: Determinants Of Mutual Fund Performancementioning

confidence: 99%

Does active management add value? New evidence from a quantile regression approach

Matallín‐Sáez

Soler‐Domínguez

Tortosa‐Ausina

2019

Journal of the Operational Research Society

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Los documentos de trabajo del Ivie ofrecen un avance de los resultados de las investigaciones económicas en curso, con objeto de generar un proceso de discusión previo a su remisión a las revistas científicas. Al publicar este documento de trabajo, el Ivie no asume responsabilidad sobre su contenido.Ivie working papers offer in advance the results of economic research under way in order to encourage a discussion process before sending them to scientific journals for their final publication. Ivie's decision to publish this working paper does not imply any responsibility for its content.La Serie EC, coordinada por Matilde Mas, está orientada a la aplicación de distintos instrumentos de análisis al estudio de problemas económicos concretos.Coordinated by Matilde Mas, the EC Series mainly includes applications of different analytical tools to the study of specific economic problems.Todos los documentos de trabajo están disponibles de forma gratuita en la web del Ivie http://www.ivie.es, así como las instrucciones para los autores que desean publicar en nuestras series.Working papers can be downloaded free of charge from the Ivie website ResumenWhile it has long been recognized that active management is an important issue in the area of mutual fund performance, little consensus has been reached about the value managers' abilities can add. This study attempts to explore both fund and manager characteristics in order to understand their influence on the efficiency achieved for a sample of Spanish mutual funds. We explore these issues in a two-stage approach, considering partial frontier estimators (order-m and order-α) to assess performance in the first stage, and regression quantiles to isolate the determinants of efficiency in the second stage. Our findings shed light mainly on investors' concerns, since differences do indeed arise among both funds and managers. Our analysis provides some arguments as a guide in selecting funds and some managerial features to be taken into account. In addition, some of the performance differences found among funds are rather intricate because both the magnitude of the estimated regression coefficients and their significance varies depending on the quantile of the distribution of fund performance. AbstractAunque durante mucho tiempo se ha reconocido que la gestión activa es un tema importante en el área de la evaluación del rendimiento de los fondos de inversión, el consenso alcanzado acerca de la contribución al valor añadido de los fondos por las habilidades de los directivos es limitado. Este estudio intenta explorar tanto las características de los gestores como las de los propios fondos en sí mismos con el fin de entender su influencia en la eficiencia conseguida para una muestra de fondos de inversión españoles. Estos temas son explorados a través de un enfoque de dos etapas, teniendo en cuenta los estimadores de fronteras parciales (orden-m y el orden α-) para evaluar el desempeño en la primera etapa, y así como un enfoque de regresión cuantil para analizar los determinantes de ...

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“…Other relevant papers in this area include Chen and Pennacchi (1996), Hu et al (2011), and Basak et al (2000. In the analytical framework of these papers, managers performance is measured against a benchmark.…”

Section: Hft Activity For Banned and Unbanned Stocksmentioning

confidence: 99%

Essays on mutual fund performance, ambiguity aversion, and high frequency trading

Tong¹

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ACKNOWLEDGEMENTSI would like to thank my advisor, Ashish Tiwari, for his guidance and encouragement. I have learned a great deal from him during my time at Iowa and could never repay his generosity. In addition, I would like to thank the other members of my thesis committee: Wei Li, Erik Lie, Yiming Qian, and Tong Yao. They have all provided invaluable support throughout my graduate studies.The faculty and graduate students at the University of Iowa have also been responsible for a large part of my academic development, and I am grateful to everyone.Finally, this dissertation would not have been possible without the love and support of my parents, Yanyan and Xueliang.ii ABSTRACT In this dissertation, I address a range of topics in the context of mutual fund performance and high frequency trading.The first chapter provides novel evidence on the role of ambiguity aversion in determining the response of mutual fund investors to historical fund performance information. It presents a model of ambiguity averse investors who receive multiple CHAPTER 1 INVESTMENT DECISIONS UNDER AMBIGUITY: EVIDENCE FROM MUTUAL FUND INVESTOR BEHAVIOR

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Fund Flows, Performance, Managerial Career Concerns, and Risk-Taking

Cited by 38 publications

References 42 publications

Do Portfolio Manager Contracts Contract Portfolio Management?

Do Portfolio Manager Contracts Contract Portfolio Management?

Does active management add value? New evidence from a quantile regression approach

Essays on mutual fund performance, ambiguity aversion, and high frequency trading

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