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| Tekijä: | Kostakis, A. |
| Otsikko: | Performance measures and incentives: looading negative coskewness to outperform the CAPM |
| Lehti: | European Journal of Finance
2009 : JUL/SEP, VOL. 15:5-6, p. 463-486 |
| Asiasana: | management incentives performance measurement models stock markets United Kingdom |
| Vapaa asiasana: | mutual funds |
| Kieli: | eng |
| Tiivistelmä: | This study explores the incentives in fund management (henceforth as: f-mgmt.) due to the adoption of specific performance measures (here as: p-m/s). A mean-variance measure e.g. Jensen's alpha encourages f-mgmt. to load negative coskewness (here as: neg. co-ss.) risk. This risk is shown to be priced in the U.K. stock market from Jan. 1991 to Dec. 2005, bearing a premium of 2.09 perecent per annum. Thus, a new p-m/s., the intercept of the Harvey-Siddique 2-factor asset pricing model is proposed to be more appropriate for prudent investors. Based on this model, the U.K. equity unit trusts' performance is examined for the same period. Though significantly underperforming their benchmark, most of the managers correctly responded to their incentives, loading neg. co-ss. and collecting part of the corresponding premium. |
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