| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089700 | Journal of Banking & Finance | 2012 | 9 Pages |
Abstract
⺠Risk mean reversion confounds examination of fund tournament behavior. ⺠We develop a method to determine if mutual fund trades intentionally change risk. ⺠We find funds mostly trade to reduce risk, especially tracking error variance. ⺠Intended changes to risk are unrelated to past mutual fund performance.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Grant Cullen, Dominic Gasbarro, Gary S. Monroe, J. Kenton Zumwalt,