On the Demand for High-Beta Stocks: Evidence from Mutual Funds

• 成果类型: Article
• 署名作者: Christoffersen, Susan E. K.; Simutin, Mikhail
• 署名单位: University of Toronto; Copenhagen Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx022
• 发表日期: 2017
• 页码: 2596
• 关键词: savings behavior; returns; RISK; tournaments; performance; investors; industry; incentives; liquidity; FLOWS

摘要

Prior studies have documented that pension plan sponsors often monitor a fund's performance relative to a benchmark. We use a first-difference approach to show that in an effort to beat benchmarks, fund managers controlling large pension assets tend to increase their exposure to high-beta stocks, while aiming to maintain tracking errors around the benchmark. The findings support theoretical conjectures that benchmarking can lead managers to tilt their portfolio toward high-beta stocks and away from low-beta stocks, which can reinforce observed pricing anomalies.