Journal article
Changes to mutual fund risk: Intentional or mean reverting?
Journal of Banking & Finance, Vol.36(1), pp.112-120
2012
Abstract
An empirical issue is whether a mutual fund's change in intertemporal risk is intentional or arises from risk mean reversion. Our methodology uses actual fund trades to identify funds that actively change risk. Funds that are statistically identified as trading to change return variance or tracking error variance do not exhibit risk mean reversion. Mostly, funds trade to reduce risk and, in particular, tracking error variance. This is most evident for funds that previously attained a low tracking error variance. We find no evidence of a relation between past performance and intended changes to return variance or tracking error variance.
Details
- Title
- Changes to mutual fund risk: Intentional or mean reverting?
- Authors/Creators
- G. Cullen (Author/Creator) - Murdoch UniversityD. Gasbarro (Author/Creator) - Murdoch UniversityG.S. Monroe (Author/Creator) - UNSW SydneyJ.K. Zumwalt (Author/Creator) - Colorado State University
- Publication Details
- Journal of Banking & Finance, Vol.36(1), pp.112-120
- Publisher
- Elsevier BV
- Identifiers
- 991005543002207891
- Copyright
- © 2011 Elsevier B.V.
- Murdoch Affiliation
- Do not use- Former Murdoch Business School
- Language
- English
- Resource Type
- Journal article
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