IDEAS home Printed from https://ideas.repec.org/a/bla/jfinan/v69y2014i3p1051-1098.html
   My bibliography  Save this article

The Cross-Section of Managerial Ability, Incentives, and Risk Preferences

Author

Listed:
  • RALPH S.J. KOIJEN

Abstract

type="main"> I estimate a dynamic investment model for mutual managers to study the cross-sectional distribution of ability, incentives, and risk preferences. The manager's compensation depends on the size of the fund, which fluctuates due to fund returns and due to fund flows that respond to the fund's relative performance. The model provides an economic interpretation of time-varying coefficients in performance regressions in terms of the structural parameters. I document that the estimates of fund alphas are precise and virtually unbiased. I find substantial heterogeneity in ability, risk preferences, and pay-for-performance sensitivities that relates to observable fund characteristics.

Suggested Citation

  • Ralph S.J. Koijen, 2014. "The Cross-Section of Managerial Ability, Incentives, and Risk Preferences," Journal of Finance, American Finance Association, vol. 69(3), pages 1051-1098, June.
    • Handle: RePEc:bla:jfinan:v:69:y:2014:i:3:p:1051-1098
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/jofi.12140
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:69:y:2014:i:3:p:1051-1098. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/afaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.