How are derivatives used? Evidence from the mutual fund industry

• 成果类型: Article
• 署名作者: Koski, JL; Pontiff, J
• 署名单位: University of Washington; University of Washington Seattle
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00126
• 发表日期: 1999
• 页码: 791-816
• 关键词: performance; incentives; returns; RISK; management

摘要

We investigate investment managers' use of derivatives by comparing return distributions for equity mutual funds that use and do not use derivatives. In contrast to public perception, derivative users have risk exposure and return performance that are similar to nonusers. We also analyze changes in fund risk in response to prior fund performance. Changes in risk are substantially less severe for funds using derivatives, consistent with the explanation that managers use derivatives to reduce the impact of performance on risk. We provide new evidence regarding the implications of cash flows and managerial gaming for the relation between performance and risk.