Time-Varying Incentives in the Mutual Fund Industry

Anthony S Tay (anthonytay@smu.edu.sg) and Jacques Olivier
Additional contact information
Jacques Olivier: HEC Paris and CEPR

No 10-2008, Working Papers from Singapore Management University, School of Economics

Abstract: This paper re-examines the incentives of mutual fund managers arising from investor flows. We provide evidence that the convexity of the flow-performance relationship varies with economic activity. We show that the effect is economically large and is not driven by abnormal years. We test two possible channels through which this pattern may arise. We investigate implications of the time-varying convexity for the incentives of managers to alter strategically the risk of their portfolios. We provide evidence that poor mid-year performers increase the risk of the portfolio only when economic activity is strong. Finally, we briefly discuss some methodological implications.

Keywords: Mutual funds; Incentives; Flow-Performance Relationship; Convexity; Business Cycles (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2008-03, Revised 2008-06
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in SMU Economics and Statistics Working Paper Series

Downloads: (external link)
https://mercury.smu.edu.sg/rsrchpubupload/12199/OlivierTay2008.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Server closed connection without sending any data back

Related works:
Working Paper: Time-Varying Incentives in the Mutual Fund Industry (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:siu:wpaper:10-2008

Ordering information: This working paper can be ordered from
lylim@smu.edu.sg

Access Statistics for this paper

More papers in Working Papers from Singapore Management University, School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by QL THor (qlthor@smu.edu.sg).