Fund Tournaments and Asset Bubbles

研究成果: Article査読

6 被引用数 (Scopus)

抄録

This article studies how fund managers' relative-performance concerns affect their investment strategies in bubble periods. The managers compete for flows that are sensitive to their performance ranking. Severe ranking tournaments with highly convex flow-performance relationship lead managers to ride bubbles to outperform each other, making bubbles long-lived. However, moderate tournaments may lead them to attack bubbles quickly. The results are consistent with the observed cross-sectional variation in funds' investment strategies in bubble periods. Bubble-riding behavior is pronounced if the funds' tournament is too close to call, as interim followers try to catch up while interim leaders try to stay ahead.

本文言語English
ページ(範囲)1383-1426
ページ数44
ジャーナルReview of Finance
20
4
DOI
出版ステータスPublished - 2016 7 1
外部発表はい

ASJC Scopus subject areas

  • 会計
  • 財務
  • 経済学、計量経済学

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