Risk Shifting and Mutual Fund Performance

By Jennifer Huang, Clemens Sialm, Hanjiang Zhang. 2010

439 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/461b9e9dc9dcbf865bd9acee242b7ec0bc910e42

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. D. Sosyura
2. Nagpurnanand R. Prabhala
3. Gerard Hoberg
4. Stijn Van Nieuwerburgh
5. C. M. Lee
6. Ľuboš Pástor
7. Nitin Kumar
8. Lucian A. Taylor

In Economics and Econometrics

1. Marcin T. Kacperczyk
2. Ľuboš Pástor
3. Stijn Van Nieuwerburgh
4. C. M. Lee
5. Laura L. Veldkamp
6. Eric C. So
7. Lucian A. Taylor
8. Rob Stambaugh

In Finance

1. Ľuboš Pástor
2. Stijn Van Nieuwerburgh
3. Laura L. Veldkamp
4. Marcin T. Kacperczyk
5. D. Sosyura
6. Lucian A. Taylor
7. Gerard Hoberg
8. C. M. Lee

Citations in the corpus

• Winners in the Spotlight: Media Coverage of Fund Holdings as a Driver of Flows (2014, background): “…available to investors in the public domain, which can be used to infer a fund manager’s skill (Kacperczyk and Seru, 2007; Kacperczyk, Sialm, and Zheng, 2005, 2008; Kacperczyk, Van Nieuwerburgh, and Veldkamp, 2013) and uncover important changes in a fund’s strategy (Huang, Sialm, and Zhang, 2011).”
• Time-Varying Fund Manager Skill: Time-Varying Fund Manager Skill (2012, neutral): “…Kacperczyk, Sialm, and Zheng (2005, 2008), Kacperczyk and Seru (2007), Christoffersen, Keim, and Musto (2007), Cremers and Petajisto (2009), Koijen (2010), Baker, Litov, Wachter, and Wurgler (2010), Huang, Sialm, and Zhang (2011), Amihud and Goyenko (2011), and Cohen, Polk, and Silli (2011).”
• Mutual Fund Competition, Managerial Skill, and Alpha Persistence (2018, positive): “This flexibility makes room for benchmark gaming, as pointed out by Brown and Goetzmann (1997) and Huang, Sialm, and Zhang (2011).”
• A Rational Theory of Mutual Funds' Attention Allocation (2016, positive): “…of recent papers in the empirical mutual fund literature also find that some managers have skill, e.g., Kacperczyk, Sialm, and Zheng (2005, 2008), Kacperczyk and Seru (2007), Cremers and Petajisto (2009), Huang, Sialm, and Zhang (2011), Koijen (2014), Baker, Litov, Wachter, and Wurgler (2010).”
• Do Funds Make More When They Trade More (2016, positive): “…Moskowitz, 2000, Glode, 2011, Kosowski, 2011, and Kacperczyk, van Nieuwerburgh, and Veldkamp, 2013, 2014), to aggregate market returns (Glode, Hollifield, Kacperczyk, and Kogan, 2012), and to time variation in fund risk (e.g., Brown, Harlow, and Starks, 1996, and Huang, Sialm, and Zhang, 2011).”
• Uncovering expected returns: Information in analyst coverage proxies (2017, positive): “…managers are also compensated based on their total assets under management ( Berk and Green, 2004 ), their ability to avoid idiosyncratic risks (e.g., Cohen et al., 2010; Huang et al., 2011 ), and from providing a liquidity service to investors (e.g., Edelen, 1999; Alexander et al., 2007 ).”