Compétition entre fonds et prise de risque excessive: une application empirique au cas français

Raphaëlle Bellando and Sébastien Ringuedé ()
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Sébastien Ringuedé: LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique

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Abstract: The tournament assumption is often used to describe how mutual funds compete with each other to attract investors, and how this competition affects their risk-taking behaviour. We aim to assess this assumption in the French equity mutual funds industry during the period 1999-2004. We show that the best performing funds during the first tree quarters of a given year change the systematic risk level of their portfolio in the last quarter, depending on the trend in financial markets. While they do not change their systematic risk level in bear financial market, they significantly increase it when market is bull, by introducing in their portfolio more risky equities.

Keywords: Mutual funds; tournament; prises de risques; fonds de placement; tournoi (search for similar items in EconPapers)
Date: 2009
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00451027
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Working Paper: Compétition entre fonds et prise de risque excessive: une application empirique au cas français (2009)
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