Do Portfolio Manager Contracts Contract Portfolio Management?

• 成果类型: Article
• 署名作者: Lee, Jung Hoon; Trzcinka, Charles; Venkatesan, Shyam
• 署名单位: Tulane University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Western University (University of Western Ontario)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12823
• 发表日期: 2019
• 页码: 2543-2577
• 关键词: Risk-taking; incentive contracts; Mutual funds; performance; COMPENSATION; tournaments; turnover; OPTION

摘要

Most mutual fund managers have performance-based contracts. Our theory predicts that mutual fund managers with asymmetric contracts and mid-year performance close to their announced benchmark increase their portfolio risk in the second part of the year. As predicted by our theory, performance deviation from the benchmark decreases risk-shifting only for managers with performance contracts. Deviation from the benchmark dominates incentives from the flow-performance relation, suggesting that risk-shifting is motivated more by management contracts than by a tournament to capture flows.