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Investor risk evaluation in the determination of management incentives in the mutual fund industry

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  • Berkowitz, Michael K.
  • Kotowitz, Yehuda

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  • Berkowitz, Michael K. & Kotowitz, Yehuda, 2000. "Investor risk evaluation in the determination of management incentives in the mutual fund industry," Journal of Financial Markets, Elsevier, vol. 3(4), pages 365-387, November.
    • Handle: RePEc:eee:finmar:v:3:y:2000:i:4:p:365-387
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    References listed on IDEAS

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    1. Ippolito, Richard A, 1992. "Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry," Journal of Law and Economics, University of Chicago Press, vol. 35(1), pages 45-70, April.
    2. William N. Goetzmann & Nadav Peles, 1997. "Cognitive Dissonance And Mutual Fund Investors," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(2), pages 145-158, June.
    3. Admati, Anat R & Pfleiderer, Paul, 1997. "Does It All Add Up? Benchmarks and the Compensation of Active Portfolio Managers," The Journal of Business, University of Chicago Press, vol. 70(3), pages 323-350, July.
    4. Brown, Stephen J & Goetzmann, William N, 1995. "Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-698, June.
    5. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    6. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999. "Asset Allocation Dynamics and Pension Fund Performance," The Journal of Business, University of Chicago Press, vol. 72(4), pages 429-461, October.
    7. Chevalier, Judith & Ellison, Glenn, 1997. "Risk Taking by Mutual Funds as a Response to Incentives," Journal of Political Economy, University of Chicago Press, vol. 105(6), pages 1167-1200, December.
    8. repec:bla:jfinan:v:53:y:1998:i:5:p:1589-1622 is not listed on IDEAS
    9. Stoughton, Neal M, 1993. "Moral Hazard and the Portfolio Management Problem," Journal of Finance, American Finance Association, vol. 48(5), pages 2009-2028, December.
    10. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    11. William N. Goetzmann & Nadav Peles, 1997. "Cognitive Dissonance And Mutual Fund Investors," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(2), pages 145-158, June.
    12. Dastoor, Naorayex K., 1983. "Some aspects of testing non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(2), pages 213-228, February.
    13. Darryll Hendricks & Jayendu Patel & Richard Zeckhauser, 1997. "The J-Shape Of Performance Persistence Given Survivorship Bias," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 161-166, May.
    14. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," The Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-580.
    15. Franklin Fant, L., 1999. "Investment behavior of mutual fund shareholders: The evidence from aggregate fund flows," Journal of Financial Markets, Elsevier, vol. 2(4), pages 391-402, November.
    16. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    17. M. K. Berkowitz & Y. Kotowitz, 1993. "Incentives and Efficiency in the Market for Management Services: A Study of Canadian Mutual Funds," Canadian Journal of Economics, Canadian Economics Association, vol. 26(4), pages 850-866, November.
    18. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
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    Cited by:

    1. Ryan, Ellen, 2024. "Are fund managers rewarded for taking cyclical risks?," Journal of Financial Markets, Elsevier, vol. 68(C).
    2. Charles Cao & Eric Ghysels & Frank Hatheway, 2001. "Derivatives Do Affect Mutual Funds Returns : How and When?," CIRANO Working Papers 2001s-62, CIRANO.
    3. Vikash Ramiah & Imad Moosa & Ben O'Neill & Milica Backulja & Amel Yacoub & Terry Hallahan & John Vaz, 2012. "Tournament behaviour in Malaysian managed funds," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(4), pages 381-399, September.
    4. Berkowitz, Michael K. & Qiu, Jiaping, 2003. "Ownership, risk and performance of mutual fund management companies," Journal of Economics and Business, Elsevier, vol. 55(2), pages 109-134.
    5. Karen L. Benson & Robert W. Faff & John Nowland, 2007. "Do Derivatives Have a Role in the Risk-Shifting Behaviour of Fund Managers?," Australian Journal of Management, Australian School of Business, vol. 32(2), pages 271-292, December.
    6. Groh, Alexander P., 2004. "Risikoadjustierte Performance von Private Equity-Investitionen," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 21382, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    7. Berkowitz, Michael K. & Kotowitz, Yehuda, 2002. "Managerial quality and the structure of management expenses in the US mutual fund industry," International Review of Economics & Finance, Elsevier, vol. 11(3), pages 315-330.
    8. Cvitanic, Jaksa & Lazrak, Ali & Wang, Tan, 2008. "Implications of the Sharpe ratio as a performance measure in multi-period settings," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1622-1649, May.
    9. Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J.M., 2008. "Performance information dissemination in the mutual fund industry," Journal of Financial Markets, Elsevier, vol. 11(2), pages 144-159, May.
    10. Ryan, Ellen, 2022. "Are fund managers rewarded for taking cyclical risks?," Working Paper Series 2652, European Central Bank.
    11. Alexander Kempf & Stefan Ruenzi, 2004. "Family Matters: The Performance Flow Relationship in the Mutual Fund Industry," Finance 0404012, University Library of Munich, Germany, revised 26 May 2004.
    12. Ryan, Ellen, 2022. "Are fund managers rewarded for taking cyclical risks?," ESRB Working Paper Series 134, European Systemic Risk Board.
    13. Bernhard Breloer & Hannah Lea Hühn & Hendrik Scholz, 2016. "Jensen alpha and market climate," Journal of Asset Management, Palgrave Macmillan, vol. 17(3), pages 195-214, May.
    14. Hallahan, Terrence & Faff, Robert, 2009. "Tournament behavior in Australian superannuation funds: A non-parametric analysis," Global Finance Journal, Elsevier, vol. 19(3), pages 307-322.

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