Abstract

http://ssrn.com/abstract=2023805
 
 

Citations (2)



 


 



Strategic Mutual Fund Tournaments


Joseph Chen


University of California, Davis - Graduate School of Management

Eric N. Hughson


Claremont Colleges - Robert Day School of Economics and Finance

Neal Stoughton


Vienna University of Economics and Business Administration; Vienna Graduate School of Finance (VGSF)

October 1, 2012


Abstract:     
This paper characterizes the optimal strategies of mutual fund managers competing in a multi-period winner-take-all tournament. Taking account of both multiple periods and competition between more than two managers, the optimal strategies are contingent on the state at the interim date. In the final period all managers maximize the amount of risk that they add to their portfolios with the exception of the leading fund. This fund locks in its advantage by reducing risk only if it has a sufficiently large lead. Empirically, we find that consistent with the theory, funds with larger leads decrease risk; however trailing funds do not increase risks. These results are robust to using different ways of controlling for systematic risk exposures.

Number of Pages in PDF File: 40

Keywords: tournaments, mutual funds, risk

JEL Classification: G23, G11

working papers series





Download This Paper

Date posted: March 17, 2012 ; Last revised: October 24, 2012

Suggested Citation

Chen, Joseph and Hughson, Eric N. and Stoughton, Neal, Strategic Mutual Fund Tournaments (October 1, 2012). Available at SSRN: http://ssrn.com/abstract=2023805 or http://dx.doi.org/10.2139/ssrn.2023805

Contact Information

Joseph S. Chen
University of California, Davis - Graduate School of Management ( email )
One Shields Avenue
Davis, CA 95616
United States
(530) 752-7155 (Phone)
(530) 752-2924 (Fax)
Eric N. Hughson
Claremont Colleges - Robert Day School of Economics and Finance ( email )
500 E. Ninth St.
Claremont, CA 91711-6420
United States
909-607-3664 (Phone)
Neal M. Stoughton (Contact Author)
Vienna University of Economics and Business Administration ( email )
Austria
Vienna Graduate School of Finance (VGSF) ( email )
Austria
Feedback to SSRN


Paper statistics
Abstract Views: 840
Downloads: 116
Download Rank: 143,115
Citations:  2

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.406 seconds