Flow-Performance Relationship and Tournament Behavior in the Mutual Fund Industry

In this paper, we interpret the flow-performance relationship as an incentive scheme implicitly given to mutual fund managers by mutual fund investors. We show that the flow-performance relationship varies not only with economic activity but also across fund attributes. We provide evidence that the...

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主要作者: MA, Baoling
格式: text
語言:English
出版: Institutional Knowledge at Singapore Management University 2008
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在線閱讀:https://ink.library.smu.edu.sg/etd_coll/18
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1017&context=etd_coll
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機構: Singapore Management University
語言: English
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總結:In this paper, we interpret the flow-performance relationship as an incentive scheme implicitly given to mutual fund managers by mutual fund investors. We show that the flow-performance relationship varies not only with economic activity but also across fund attributes. We provide evidence that the degree of convexity of the flow-performance relationship has a positive effect on the magnitude of tournament behavior. Different from the conventional tournament hypothesis, we show that although the convexity of the flow-performance relationship does produce implicit incentives for fund managers to modify risk-taking behavior as a function of their prior performance, whether or not the mid-year losers increase the risk of their portfolios highly depends on the convexity degree of the flow-performance relationship.