Beta or duration? Risk-taking by balanced mutual funds in Korea
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Park, Keun Woo | - |
dc.contributor.author | Han, Min Yeon | - |
dc.contributor.author | Oh, Ji Yeol Jimmy | - |
dc.date.accessioned | 2021-08-03T02:55:24Z | - |
dc.date.available | 2021-08-03T02:55:24Z | - |
dc.date.created | 2021-05-12 | - |
dc.date.issued | 2020-03 | - |
dc.identifier.issn | 1544-6123 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/32790 | - |
dc.description.abstract | We examine the risk-taking behavior of balanced mandate managers in Korea between 2011 and 2018. Though it is well known that mutual fund managers face risk-taking incentives after poor performance, balanced mandate managers are unique in that they can choose between whether to take risks in either equities and/or bonds. We find that, following poor relative performance, bond-oriented balanced funds increase their systematic exposure to equities, while "reaching for duration" is confined to equity-oriented managers. Managers thus appear to increase risks in an asset category with a relatively lower portfolio weight. Systematic risk-taking attracts inflows but harms risk-adjusted performance. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ACADEMIC PRESS INC ELSEVIER SCIENCE | - |
dc.title | Beta or duration? Risk-taking by balanced mutual funds in Korea | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Oh, Ji Yeol Jimmy | - |
dc.identifier.doi | 10.1016/j.frl.2019.07.002 | - |
dc.identifier.scopusid | 2-s2.0-85068507552 | - |
dc.identifier.wosid | 000536022000049 | - |
dc.identifier.bibliographicCitation | FINANCE RESEARCH LETTERS, v.33, pp.1 - 8 | - |
dc.relation.isPartOf | FINANCE RESEARCH LETTERS | - |
dc.citation.title | FINANCE RESEARCH LETTERS | - |
dc.citation.volume | 33 | - |
dc.citation.startPage | 1 | - |
dc.citation.endPage | 8 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.subject.keywordPlus | COMPENSATION | - |
dc.subject.keywordPlus | TOURNAMENTS | - |
dc.subject.keywordPlus | PERSISTENCE | - |
dc.subject.keywordPlus | INCENTIVES | - |
dc.subject.keywordPlus | FLOWS | - |
dc.subject.keywordAuthor | Hybrid mutual funds | - |
dc.subject.keywordAuthor | Holding beta | - |
dc.subject.keywordAuthor | Holding duration | - |
dc.subject.keywordAuthor | Fund performance | - |
dc.identifier.url | https://www.sciencedirect.com/science/article/pii/S1544612319302697?via%3Dihub | - |
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