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Paper Stats:
Abstract Views: 1232
Downloads: 468
Download Rank: 8291
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Another Look at Mutual Fund Tournaments
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JEFFREY A. BUSSE
Emory University - Department of Finance
July 1998
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Abstract:
This paper uses daily returns to examine how mutual funds modify their risk during the last several months of a year based on their performance during the first several months of the year. Relative to monthly data, daily returns provide much more efficient estimates of fund volatility, yielding vastly different inferences about the behavior of fund managers. In particular, monthly results consistent with a tendency for year-to-date underperformers to increase their risk levels relative to better performing funds disappears with daily data. This indicates that results previously attributed to managerial behavior are more likely an artifact of inefficient monthly volatility estimates.
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JEL Classifications: G12, G14
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Working Paper Series
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Suggested Citation
Busse, Jeffrey A., "Another Look at Mutual Fund Tournaments"
(July 1998).
Available at SSRN: http://ssrn.com/abstract=110028
or DOI: 10.2139/ssrn.110028
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Contact Information for
JEFFREY
A.
BUSSE
(Contact Author)
Email address for JEFFREY
A.
BUSSE
Emory University - Department of Finance
Atlanta
, GA
30322-2710
United States
404-727-0160 (Phone)
404-727-5238 (Fax)
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Aug 21, 1998 |
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