Why constrain your mutual fund manager

By Andrés Almazán, K. Brown, Murray D. Carlson, David A. Chapman. 2004

523 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5b900e1b8b449dff8eb0b52391193ce20ffc3d3a

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Citations in the corpus

Employment risk, compensation incentives, and managerial risk taking: Evidence from the mutual fund industry (2009, unknown): “mutual fund industry (see, e.g., Almazan et al. (2004) ) by showing that the”
Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009, background): “Almazan et al. (2004) examine this form of discretion, but do not find it associated with better performance. In contrast to mutual funds, hedge funds have some unique features, such as lockup periods, notice periods, and redemption periods. Since notice and redemption periods are applied back to ba”
Asset Prices Under Short-Sale Constraints (2006, background): “Almazan et al. (2003) report that about 70% of mutual funds explicitly state (in Form N-SAR that they file with the SEC) that they are not permitted to sell short.”
Portfolio Manager Ownership and Fund Performance (2007, background): “Almazan et al. (2004) study the constraints in the mutual fund managers’ investment policies.”
A Unique View of Hedge Fund Derivatives Usage: Safeguard or Speculation? (2012, background): “Almazan et al. (2004) also find no difference in riskadjusted returns across mutual funds that constrain derivatives use by managers.”
On portfolio optimization: Imposing the right constraints (2013, unknown): “Almazan et al. (2004) provide a comprehensive overview of regulatory constraints for mutual fund managers in the U.S. (5)The notation and variable explanation closely follow Jagannathan and Ma (2003). Throughout the paper bold face letters indicate vectors (lower case letters) and matrices (upper ca”
Asset Fire Sales (and Purchases) in Equity Markets (2007, unknown): “2 Regulations and self-imposed constraints effectively prevent mutual funds from raising funds by short selling other securities (Almazan et al. (2004)), and binding margin constraints are likely to restrict short selling by severely underperforming hedge funds.”