Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns

Frank Fabozzi (), Omar Masood and Radu Tunaru

The European Journal of Finance, 2007, vol. 13, issue 3, 269-282

Abstract: The relevance of a fund manager's educational and experience profile to the size of investment portfolio return has been the subject of recurrent research in the last decade. While previous research considered an external reference point of view analysing industry-wide aggregated data, little research, if any, has been directed at revealing the inside story of what influences the subjective perception of the risk framework the managers at a financial institution have to work under or whether managers consider incentives they receive to be satisfactory. This survey-based study analyses the answers of 120 fund managers from one of the world's largest banks to a set of questions designed to unveil the links between the objective and more subjective factors that contribute to the investment activity in the banking industry. This context is different from previous studies because information has been collected not only on objective characteristics such as age, size of portfolio, and size of incentives but also on whether investment decisions are based on subjective judgment or analytic tools and on the level of satisfaction with incentives and the bank's risk management system. This paper provides a methodology capable of exploring the links among the variables obtained from the interviews, graphical chain modelling, which offers an elegant solution to the problem caused by the sparsity of the data, testing with categorical ordinal variables, and model selection. The results may help senior management of financial institutions identify possible linkages that determine a stable and encouraging working environment for fund managers.

Keywords: Fund managers; ROI; contingency tables; graphical chain models (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/13518470600813581 (text/html)
Access to full text is restricted to subscribers.

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:taf:eurjfi:v:13:y:2007:i:3:p:269-282

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20

DOI: 10.1080/13518470600813581

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().