Compétition entre gérants de fonds: prise de risque et effort

Huyen Nguyen-Thi-Thanh, Duc- De Ngo and Franceline Mercurelli

Revue économique, 2017, vol. 68, issue 4, 595-622

Abstract: This article investigates the way that mutual fund managers respond to the incentives induced by ranking objectives in order to maximize their year-end revenues. In addition to shifting their portfolio?s riskiness, managers can modify their level of effort. The existence of several possible combinations of risk-effort provides a new insight into contradictory conclusions obtained in the literature. We show that the ?gamble for resurrection? behavior happens only when the effort cost is sufficiently high. For the other situations, winners and losers adopt the same combinations of risk-effort. In many cases, a high level of risk is associated with a high level of effort. Empirical verifications conducted on a sample of US mutual funds corroborate our principal theoretical predictions. Classification JEL : G11, G23.

JEL-codes: G11 G23 (search for similar items in EconPapers)
Date: 2017
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