Do Shocks to Personal Wealth Affect Risk-taking in Delegated Portfolios?

• 成果类型: Article
• 署名作者: Pool, Veronika K.; Stoffman, Noah; Yonker, Scott E.; Zhang, Hanjiang
• 署名单位: Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Cornell University; Washington State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy096
• 发表日期: 2019
• 页码: 1457
• 关键词: ceo overconfidence; Managers; style

摘要

Using exogenous wealth shocks stemming from the collapse of the housing market, we show that managers who experience substantial losses in their home values subsequently reduce risk in their delegated funds. The decline in fund risk comes through reductions in idiosyncratic risk and tracking error, suggesting that the behavior is likely driven by career concerns. Our paper provides evidence that idiosyncratic personal preferences affect mutual fund managers' professional decisions and offers a methodology for testing for manager effects that is not subject to the selection critique of Fee, Hadlock, and Pierce (2013).