A Tournament Model of Fund Management

Daniella Acker and Nigel W. Duck

Journal of Business Finance & Accounting, 2006, vol. 33, issue 9‐10, 1460-1483

Abstract: Abstract: We develop a tournament model of portfolio management and test it on UK investment trusts. Our model extends the literature by analysing middle‐ranking funds who aim to beat a benchmark; spanning two periods; focusing on ‘extreme’ portfolios; and using a signal‐extraction framework. We predict that ‘losing’ managers will adopt extreme portfolios, and increasingly so, the further behind the fund is and the nearer the ranking date. Losing managers will choose high/low market exposure depending both on anticipated market movements and on whether they have sufficient assets to take advantage of a rising market. Our empirical tests support these predictions.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://doi.org/10.1111/j.1468-5957.2006.00648.x

Related works:
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:bla:jbfnac:v:33:y:2006:i:9-10:p:1460-1483

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0306-686X

Access Statistics for this article

Journal of Business Finance & Accounting is currently edited by P. F. Pope, A. W. Stark and M. Walker

More articles in Journal of Business Finance & Accounting from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().