search query: @indexterm incentives / total: 682
reference: 334 / 682
| Author: | Chevalier, J. Ellison, G. |
| Title: | Risk taking by mutual funds as a response to incentives |
| Journal: | Journal of Political Economy
1997 : DEC, VOL. 105:6, p. 1167-1200 |
| Index terms: | UNIT TRUSTS RISK INCENTIVES CONFLICT INVESTORS COMPANIES |
| Language: | eng |
| Abstract: | This study investigates a potential agency conflict between mutual fund companies and mutual fund investors. Investors want that fund company would use its judgement to maximize risk-adjusted fund returns, and a fund company has an incentive to take actions that increase the inflow of investments. A semiparametric model is used to estimate the shape of the flow-performance relationship for a sample of growth and growth and income funds observed over the 1982-92 period. The shape of the flow-performance relationship creates incentives for fund managers to increase or decrease the riskness of the fund dependent on the fund's year-to-date return. Mutual funds do alter the riskness of their portfolios at the end of the year in a manner consistent with these incentives. |
SCIMA