Changes to mutual fund risk: Intentional or mean reverting?
| Autor: | Gary S. Monroe, J. Kenton Zumwalt, Grant Cullen, Dominic Gasbarro |
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| Rok vydání: | 2012 |
| Předmět: |
Variance risk premium
Economics and Econometrics Actuarial science business.industry Variance (accounting) Tracking error Information ratio Market risk Mean reversion Econometrics Economics sense organs skin and connective tissue diseases business health care economics and organizations Finance Mutual fund |
| Zdroj: | Journal of Banking & Finance. 36:112-120 |
| ISSN: | 0378-4266 |
| Popis: | An empirical issue is whether a mutual fund’s change in intertemporal risk is intentional or arises from risk mean reversion. Our methodology uses actual fund trades to identify funds that actively change risk. Funds that are statistically identified as trading to change return variance or tracking error variance do not exhibit risk mean reversion. Mostly, funds trade to reduce risk and, in particular, tracking error variance. This is most evident for funds that previously attained a low tracking error variance. We find no evidence of a relation between past performance and intended changes to return variance or tracking error variance. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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