Portfolio Manager Ownership and Mutual Fund Risk Taking

• 成果类型: Article
• 署名作者: Ma, Linlin; Tang, Yuehua
• 署名单位: Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University; State University System of Florida; University of Florida
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3104
• 发表日期: 2019
• 页码: 5518-5534
• 关键词: mutual funds; portfolio manager ownership; agency issuse; risk taking; managerial incentives

摘要

This paper studies the effect of portfolio manager ownership (i.e., skin in the game) on mutual fund risk taking. Using holdings-based risk change measures that capture managers' ex ante risk choices, we find that portfolio manager ownership reduces both intrayear and across-year risk-taking activities. The relationship between ownership and risk reduction is particularly strong among managers with high agency issue-induced risk-taking incentives-for example, managers who face a more convex flow-performance relationship, have poor past performance, or are not compensated based on long-term fund performance. Funds with greater managerial ownership are also associated with lower levels of total risk and downside risk. Overall, portfolio manager ownership serves as an incentive alignment mechanism and has important implications for mutual fund investors.