Do derivatives have a role in the risk-shifting behaviour of fund managers?
Benson, Karen L., Faff, Robert W., & Nowland, John (2007) Do derivatives have a role in the risk-shifting behaviour of fund managers? Australian Journal of Management, 32(2), pp. 271-292.
In this paper we examine the extent to which derivatives are used to affect the risk-shifting behaviour of Australian equity fund managers. We find, after periods of good and poor performance, the risk-shifting behaviour of fund managers is different between derivative users and non-users. Our results support the gaming and active competition hypotheses but there is little support for the cash flow hypothesis. The study also allows for a complex reporting environment by analysing data across three alternate time periods: the calendar year, financial year and quarterly frames. Given that our results are not consistent across time periods for users and non-users of derivatives, some caution in interpretation is required.
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|Item Type:||Journal Article|
|Keywords:||derivative use, managed funds, risk-shifting behaviour, tournament behaviour|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > Economic Theory (140100)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
Current > Schools > School of Economics & Finance
|Deposited On:||13 Apr 2010 16:13|
|Last Modified:||29 Feb 2012 23:33|
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