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Another Look at Mutual Fund Tournaments

Jeffrey A. Busse

Emory University - Department of Finance

July 1998

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.

Number of Pages in PDF File: 45

JEL Classification: G12, G14

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Date posted: August 21, 1998  

Suggested Citation

Busse, Jeffrey A., Another Look at Mutual Fund Tournaments (July 1998). Available at SSRN: https://ssrn.com/abstract=110028 or http://dx.doi.org/10.2139/ssrn.110028

Contact Information

Jeffrey A. Busse (Contact Author)
Emory University - Department of Finance ( email )
Atlanta, GA 30322-2710
United States
404-727-0160 (Phone)
404-727-5238 (Fax)
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