On the Empirical Evidence of Mutual Fund Strategic Risk Taking

A.P. Goriaev, T.E. Nijman, B.J.M. Werker

Research output: Working paperDiscussion paperOther research output

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Abstract

We reexamine empirical evidence on strategic risk-taking behavior by mutual fund managers.Several studies suggest that fund performance in the first semester of a year influences risk-taking in the second semester.However, we show that previous empirical studies implicitly assume that idiosyncratic fund returns (in a factor model) are uncorrelated across funds.We present generalized methodologies (based on both contingency tables and regression analysis) that accommodate the case of a general error structure.We show that the correlation between idiosyncratic fund returns is essential to the analysis and, when it is taken into account, the empirical evidence of strategic risk taking by fund managers disappears.
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages15
Volume2001-9
Publication statusPublished - 2001

Publication series

NameCentER Discussion Paper
Volume2001-9

Fingerprint

Empirical evidence
Strategic risk
Risk taking
Mutual funds
Fund managers
Empirical study
Methodology
Risk-taking behavior
Fund performance
Regression analysis
Contingency table

Keywords

  • investment trusts
  • financial risk
  • financial management
  • performance

Cite this

Goriaev, A. P., Nijman, T. E., & Werker, B. J. M. (2001). On the Empirical Evidence of Mutual Fund Strategic Risk Taking. (CentER Discussion Paper; Vol. 2001-9). Tilburg: Finance.
Goriaev, A.P. ; Nijman, T.E. ; Werker, B.J.M. / On the Empirical Evidence of Mutual Fund Strategic Risk Taking. Tilburg : Finance, 2001. (CentER Discussion Paper).
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Goriaev, AP, Nijman, TE & Werker, BJM 2001 'On the Empirical Evidence of Mutual Fund Strategic Risk Taking' CentER Discussion Paper, vol. 2001-9, Finance, Tilburg.

On the Empirical Evidence of Mutual Fund Strategic Risk Taking. / Goriaev, A.P.; Nijman, T.E.; Werker, B.J.M.

Tilburg : Finance, 2001. (CentER Discussion Paper; Vol. 2001-9).

Research output: Working paperDiscussion paperOther research output

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T1 - On the Empirical Evidence of Mutual Fund Strategic Risk Taking

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N1 - Pagination: 15

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KW - investment trusts

KW - financial risk

KW - financial management

KW - performance

M3 - Discussion paper

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BT - On the Empirical Evidence of Mutual Fund Strategic Risk Taking

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Goriaev AP, Nijman TE, Werker BJM. On the Empirical Evidence of Mutual Fund Strategic Risk Taking. Tilburg: Finance. 2001. (CentER Discussion Paper).