Earticle

초록

영어

This study was based on the hypothesis that a fund manager has incentive to take more risk with funds to conceal his actual management ability. A theoretical model was built to test this hypothesis. According to the model, when a fund manager’s ability is not observable, a poor fund manager may increase a fund’s risk to conceal his real ability, so that poor performance may be attributed to external market factors rather than ability. Previous studies have usually suggested that the different risk-taking behavior of fund managers is encouraged by the asymmetric delivery of information on fund returns. Unlike previous studies, this study focuses on real-world situations where a fund investor has more access to information about fund returns, and his decisions are often affected by concerns about fund reputation. This study highlights the fact that a fund manager has incentive to utilize fund investors’ imperfect preception on his own managerial ability even under the condition that fund returns are all disclosed to fund investors. Additionally, this study applies Korean Equity fund data to empirically demonstrate that funds with lower risk-adjusted returns take more risks in the next period than do those with higher risk-adjusted returns, a finding that supports the results of the theoretical model.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. Model
  1. Properties of Return
  2. Information Structure
  3. Contract and Payoff
  4. Sequence of the Events
 Ⅲ. Equilibrium Analysis
  1. Case 1: The Existence of Only one Fund Manager
  2. Case 2: Heterogeneous Managers: Good Manager vs. Bad Manager
  3. Extension to Multi-period with Bayesian Update
 Ⅳ. Empirical Test
  1. Estimation Model
  2. Empirical Results
 Ⅴ. Conclusion
 References

키워드

저자

• Seungyeon Won [ Assistant Professor, College of Business Administration, Myongji University ] Corresponding Author
• Jae Joon Han [ Assistant Professor, Division of Global Finance and Banking, Inha University ]
• Shin Dong Jeung [ Head of Team, Financial Supervisory Service ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330