Fund tournaments and asset bubbles
Détails
Etat: Public
Version: Author's accepted manuscript
Licence: Non spécifiée
ID Serval
serval:BIB_4710529E1D6D
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Fund tournaments and asset bubbles
Périodique
Review of Finance
ISSN
1572-3097
Statut éditorial
Publié
Date de publication
07/2016
Peer-reviewed
Oui
Volume
20
Numéro
4
Pages
1383-1426
Langue
anglais
Résumé
This paper studies how fund managers' relative-performance concerns affect their investment strategies in bubble periods. The managers compete for flows that are sensitive to their performance ranking. Severe ranking tournaments with highly convex flow-performance relationship lead managers to ride bubbles to outperform each other, making bubbles long-lived. However, moderate tournaments may lead them to attack bubbles quickly. The results are consistent with the observed cross-sectional variation in funds' investment strategies in bubble periods. Bubble-riding behavior is pronounced if the funds' tournament is too close to call, as interim followers try to catch up while interim leaders try to stay ahead.
Mots-clé
Mutual funds, Risk-taking, Incentives, Industry, Markets
Web of science
Création de la notice
04/09/2015 13:16
Dernière modification de la notice
20/08/2019 14:53