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Articles
  • OpenAccess
  • Systemic Risk, Idiosyncratic Risk and Mutual Fund Flows  [EBM 2015]
  • DOI: 10.4236/jss.2015.33003   PP.14 - 17
  • Author(s)
  • Zhiping Jiang, Yixiang Tian, Huangang Zheng
  • ABSTRACT

  • Is risk-taking behavior of Fund managers to consider for their own benefit maximization? Based the unbalanced panel data of 2004-2012 in China fund market, we empirically examine the relation between fund risk and fund managers reward. The results show that the fund choosing higher risk will not bring decreasing investment cash flow, and the investors generally show a “reward” attitude to high-risk funds. Furthermore, we find fund managers reward is a result of taking greater systemic risk.

  • KEYWORDS
  • Systemic Risk, Idiosyncratic Risk, Risk-Taking, Fund Managers Reward
  • References
  • [1]
    Chevalier, J. and Ellison, G. (1997) Risk Taking by Mutual Funds as a Response to Incentives. Journal of Political Economy, 105, 1167-1200.
    http://dx.doi.org/10.1086/516389
    [2]
    Sirri, E.R. and Tufano, P. (1998) Costly Search and Mutual Fund Flows. Journal of Finance, 53, 1589-1622.
    http://dx.doi.org/10.1111/0022-1082.00066
    [3]
    Hu, P., Kale, J.R., Pagani, M., et al. (2011) Fund Flows, Performance, Managerial Career Concerns, and Risk Taking. Management Science, 57, 628-646.
    http://dx.doi.org/10.1287/mnsc.1100.1305
    [4]
    Huang, J., Sialm, C. and Zhang, H.J. (2011) Risk Shifting and Mutual Fund Performance. Review of Financial Studies, 24, 2575-2616.
    http://dx.doi.org/10.1093/rfs/hhr001
    [5]
    Chen, H.-L. and Pennacchi, G.G. (2009) Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence. Journal of Financial and Quantitative Analysis, 44, 745-775.
    http://dx.doi.org/10.1017/S002210900999010X

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