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Managerial behavior in fund tournaments—the impact of TrueSkill

Author

Listed:
  • Alexander Swade

    (Lancaster University Management School
    Invesco Ltd.)

  • Gerrit Köchling

    (TU Dortmund University)

  • Peter N. Posch

    (TU Dortmund University)

Abstract

Measuring mutual fund managers’ skills by Microsoft’s TrueSkill algorithm, we find highly skilled managers to behave self-confident resulting in higher risk-taking in the second half of the year compared to less skilled managers. Introducing the TrueSkill algorithm, which is widely used in the e-sports community, to this branch of literature, we can replicate previous findings and theories suggesting overconfidence for mid-years winners.

Suggested Citation

  • Alexander Swade & Gerrit Köchling & Peter N. Posch, 2021. "Managerial behavior in fund tournaments—the impact of TrueSkill," Journal of Asset Management, Palgrave Macmillan, vol. 22(1), pages 62-75, February.
    • Handle: RePEc:pal:assmgt:v:22:y:2021:i:1:d:10.1057_s41260-020-00198-7
    DOI: 10.1057/s41260-020-00198-7
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    References listed on IDEAS

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    1. Kempf, Alexander & Ruenzi, Stefan & Thiele, Tanja, 2009. "Employment risk, compensation incentives, and managerial risk taking: Evidence from the mutual fund industry," Journal of Financial Economics, Elsevier, vol. 92(1), pages 92-108, April.
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    12. Brown, Keith C & Harlow, W V & Starks, Laura T, 1996. "Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 51(1), pages 85-110, March.
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    Cited by:

    1. You, Yu & Yu, Zongdai & Zhang, Wenqiao & Lu, Lei, 2023. "FinTech platforms and mutual fund markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).

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    More about this item

    Keywords

    Fund tournament; Skill; Risk-shifting; TrueSkill; Bayesian network;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G40 - Financial Economics - - Behavioral Finance - - - General

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