Beta or Duration? Risk-Taking by Balanced Mutual Funds in Korea
- Title
- Beta or Duration? Risk-Taking by Balanced Mutual Funds in Korea
- Author
- 오지열
- Keywords
- Hybrid mutual funds; Holding beta; Holding duration; Fund performance
- Issue Date
- 2020-03
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Citation
- FINANCE RESEARCH LETTERS, v. 33, article no. UNSP 101229
- Abstract
- We examine the risk-taking behavior of balanced mandate managers in Korea between 2011 and 2018. Though it is well known that mutual fund managers face risk-taking incentives after poor performance, balanced mandate managers are unique in that they can choose between whether to take risks in either equities and/or bonds. We find that, following poor relative performance, bond-oriented balanced funds increase their systematic exposure to equities, while ―reaching for duration is confined to equity-oriented managers. Managers thus appear to increase risks in an asset category with a relatively lower portfolio weight. Systematic risk-taking attracts inflows but harms risk-adjusted performance.
- URI
- https://www.sciencedirect.com/science/article/pii/S1544612319302697?via%3Dihubhttps://repository.hanyang.ac.kr/handle/20.500.11754/152287
- ISSN
- 1544-6123; 1544-6131
- DOI
- 10.1016/j.frl.2019.07.002
- Appears in Collections:
- GRADUATE SCHOOL[S](대학원) > BUSINESS ADMINISTRATION(경영학과) > Articles
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