Another Look at Mutual Fund Tournaments

By Jeffrey A. Busse. 2001

336 citations recorded by the source corpus.

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Citations in the corpus

Employment risk, compensation incentives, and managerial risk taking: Evidence from the mutual fund industry (2009, neutral): “Intended risk changes can deviate substantially from realized changes in fund risk because risk changes of stocks affect the change of funds’ volatility dramatically (Busse, 2001).”
Leverage causes fat tails and clustered volatility (2009, background): “…no wealth. zSome of the references that document or discuss the flow of investors in and out of mutual funds include Chevalier and Ellison (1997), Remolona et al. (1997), Sirri and Tufano (1998, Busse (2001) and Del Guercio and Tka (2002). higher returns so long as the asset price is increasing.”
Optimal Asset Allocation and Risk Shifting in Money Management (2007, background): “…of the flow functions we consider since our manager always incurs a penalty (fund outflows) when her performance 4 Empirical work on risk taking by U.S. fund managers includes Brown, Harlow, and Starks (1996), Chevalier and Ellison (1997), Busse (2001), and more recently, Reed and Wu (2005).”
Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry (2011, positive): “Consistent with the arguments of Koski and Pontiff (1999) and Busse (2001), fund inflows are negatively associated with future return volatility, while the increase of return autocorrelation raises volatility.”
Will Women be Women? Analyzing the Gender Difference Among Financial Experts (2008, neutral): “Busse , 2001 , Goriaev et al .”
Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence (2009, methodology): “…total compensation is not automatically bounded at zero, and a manager more closely matches the benchmark as performance declines to prevent zero compensation and infinite marginal utility.17 Proposition 1 has implications for the risk measures chosen by BHS (1996), Busse (2001), and GNW (2005).”
Conflicting Family Values in Mutual Fund Families (2013, background): “Ellison (1997), Sirri and Tufano (1998), Busse (2001), and Del Guercio and Tkac (2002)).”
Portfolio Manager Compensation in the U.S. Mutual Fund Industry (2019, methodology): “, Busse and Tong, 2012; Busse, Jiang, and Tang, 2014; Ferson and Lin, 2014; Kostovetsky and Warner, 2015). 12 We address incubation bias as follows. First, as in Evans (2010), we use fund ticker creation date to identify funds that are incubated (i.”
Tournaments in Mutual Fund Families (2008, background): “To measure the family rank of a fund, RoR (1) it , we arrange all funds of a family according to their segment rank, R (1) it .”
Star Power: The Effect of Monrningstar Ratings on Mutual Fund Flow (2008, positive): “24Brown, Harlow, and Starks (1996) and Chevalier and Ellison (1997) find evidence that mutual fund managers respond to the implicit incentives in the convex relation between flow and performance and systematically alter the riskiness of their portfolios during the last part of the year.”