Strategic Choice of Risk: Evidence from Mutual Fund Families

Chia Ying Chan, Christine W. Lai, Liang Chung Lee

    研究成果: 雜誌貢獻文章同行評審

    4 引文 斯高帕斯(Scopus)


    This study examines family-level risk taking behavior from the perspective of the strategic choice of risk. We examine whether family-level risk taking tendency is affected by a fund family’s flow tournament position in the mutual fund industry. We use family-level excess fund flow, which is defined by the gap between the actual net flows and expected net flows of a fund family, to proxy for its interim fund-flow tournament position. A fund family is an interim winner (loser) if it experiences better (worse) than expected net flows. Two measures are used to proxy for risk taking strategy: (1) Active Share; and (2) the Standard Deviation of Fund Holdings at Family Level. Overall, we conclude that fund families classified as interim losers and top interim winners in a net flow tournament position exhibit risk taking propensities. Bottom dwellers increase risk for survival, whereas leaders increase risk to retain their leadership.

    頁(從 - 到)125-163
    期刊Journal of Financial Services Research
    出版狀態已發佈 - 2017 二月 1

    ASJC Scopus subject areas

    • Accounting
    • Finance
    • Economics and Econometrics

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