Zhang, Zhichao and Ding, Li and Zhou, Si and Fu, Yaoyao (2014) 'Fund family tournament and performance consequences : evidence from the UK fund industry.', Multinational finance journal., 18 (1/2). pp. 43-84.
By applying tournament analysis to the UK Unit Trusts data, the results support significant risk shifting in the family tournament; i.e. interim winning managers tend to increase their level of risk exposure more than losing managers. It also shows that the risk-adjusted returns of the winners outperform those of the losers following the risk taking, which implies that risk altering can be regarded as an indication of managers’ superior ability. However, the tournament behaviour can still be a costly strategy for investors, since winners can be seen to beat losers in the observed returns due to the deterioration in the performance of their major portfolio holdings.
|Keywords:||Mutual fund family, Fund performance, Tournament, Risk taking.|
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|Record Created:||28 Apr 2014 14:20|
|Last Modified:||10 Nov 2014 16:25|
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