Earticle

초록

영어

Based on the convex relationship between fund performance and cash flows, many studies show that loser funds increase their risk to improve performance. However, in a recent paper, Huang, Sialm, and Zhang (2011) show the performance is particularly severe for funds that increase their risk. This paper examines the relationship between risk-increase and cash flows. Using fund net flows, inflows, and outflows, this study explains the reason why fund managers increase risk. Risk-increase affect inflows and outflows but not net flows because the net effects of inflows and outflows are mixed and blurred. Therefore, a fund’s assets under management do not change as risk increases. When performance is better (the best), risk-increase has a positive effect on inflows, which is related to idiosyncratic risk. When performance is worse (the worst), riskincrease has a negative effect on outflows, which is related to systematic risk. The results suggest that risk-increase may lead to an agency problem between fund managers and investors.

목차

Abstract
 1. Introduction
 2. Data
 3. Methodology
 4. Empirical results
  4.1 Monthly risk-increase and cash flows
  4.2 Daily risk-increase and fund cash flows
  4.3 Robustness
 5. Conclusions
 References
 Table

키워드

저자

• Yeonjeong Ha [ Korea Advanced Institute of Science and Technology ]
• Kwangsoo Ko [ Pusan National University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330