Compétition entre gérants de fonds: prise de risque et effort

Thi Thanh Huyen Nguyen (), Duc-De Ngo () and Franceline Mercurelli ()
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Thi Thanh Huyen Nguyen: Université du Maine [Le Mans - Laval], IRA - Institut du Risque et de l'Assurance, Le Mans
Duc-De Ngo: LEO - Laboratoire d'Économie d'Orleans [UMR7322] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique
Franceline Mercurelli: LEO - Laboratoire d'Économie d'Orleans [UMR7322] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique

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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.

Date: 2017-06-30
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Published in Revue Economique, 2017, Vol. 68 (4), pp.595-622. ⟨10.3917/reco.684.0595⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04329813

DOI: 10.3917/reco.684.0595

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