Returns-Chasing Behavior, Mutual Funds, and Beta's Death

By Jason Karceski. Journal of Financial and Quantitative Analysis, 2002

183 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/4dfbad1f1ebf35ac7d780e0ea536463aff47529b

How researchers see this paper

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In Accounting

1. Lasse Heje Pedersen
2. Clifford S. Asness
3. Diane Del Guercio
4. Andrea Frazzini
5. Stefan Ruenzi
6. Alexander Kempf
7. Florian Wagener
8. Cars H. Hommes

In Finance

1. Lasse Heje Pedersen
2. Clifford S. Asness
3. Florian Wagener
4. Andrea Frazzini
5. Diane Del Guercio
6. Stefan Ruenzi
7. Alexander Kempf
8. Cars H. Hommes

Citations in the corpus

• Betting Against Beta (2010, unknown): “These findings are consistent with those of Karceski (2002), but our sample is much larger, including all funds over 30-year period.”
• The Volatility Effect in Emerging Markets (2013, unknown): “A third agency explanation is that profit-maximizing fund management firms prefer high-beta funds because of asymmetric fund-flow patterns, with most of the inflows being attracted by funds with the highest return in rising markets; see, for example, Karceski (2002). The last two explanations can ex”
• The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds (2002, background): “…adopt a multivari- 27This literature includes Chevalier and Ellison (1997), Brown, Harlow, and Starks (1996), Koski and Pontiff (1999), Busse (2001), Karceski (2000), and Chen and Pennacchi (2000). ate framework, rather than the univariate approach in Sirri and Tufano (1998)’s figure 1, since we…”
• Which Factors Matter to Investors? Evidence from Mutual Fund Flows (2016, unknown): “(star spillover for fund families), Keswani and Stolin (2008) (smart-money effect in the United Kingdom), Gil-Bazo and Ruiz-Verdu (2009) (performance fee relationship), and Sensoy (2009) (mismatched style indices).”
• Leverage Aversion and Risk Parity (2012, background): “This evidence complements the extensive literature that has empirically documented violations of the CAPM (see Fama and French 1992; Gibbons 1982; Kandel 1984; Karceski 2002; Shanken 1985).”
• Employment risk, compensation incentives, and managerial risk taking: Evidence from the mutual fund industry (2009, background): “Based on these observations, Karceski (2002) argues that fund managers do not care much about outperforming other fund managers during bear markets, i.e., compensation incentives are weak in bear markets.”
• Affiliated Mutual Funds and the Allocation of Initial Public Offerings (2007, unknown): “We posit that the underwriter would allocate more hot IPOs to its affiliated funds when the overall expected first-day return of IPOs is high and attracting money inflows for the affiliated funds is most important, due to the greater performance-funds flow sensitivity that exists in bull markets (Ka”
• Complex Evolutionary Systems in Behavioral Finance (2008, background): “For example, Ippolito (1992), Chevalier and Ellison (1997), Sirri and Tufano (1998), Rockinger (1996) and Karceski (2002) show for mutual funds data that money flows into past good performers, while flowing out of past poor performers, and that performance persists on a short term basis.”