The Gender Composition of Firms and Risk-Taking Behavior: Evidence from Mutual Funds
27 Pages Posted: 24 Aug 2018
Date Written: August 14, 2018
We use two decades of data on more than 20,000 mutual fund manager spells and find that, in contrast to existing evidence, the presence of female fund managers is associated with more risk-taking, by other managers in the same family of funds. Male and, especially, female fund managers take on significantly more idiosyncratic risk — a measure of a fund manager’s unique investment style — and their funds exhibit a higher market beta — a measure of the non-diversifiable risk to which a fund’s investors are subject — when they have a higher proportion of female fund manager colleagues. Our results are consistent with a “safe haven” effect, whereby the presence of female managers encourages their colleagues to express their investing individuality by taking on more risk. We also find that risk-adjusted performance does not change, suggesting that the safe haven effect operates along an efficient frontier.
Keywords: gender, risk, mutual funds
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