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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.

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Abstract

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.

Impact and interest:

3 citations in Web of Science®
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ID Code: 31754
Item Type: Journal Article
Keywords: derivative use, managed funds, risk-shifting behaviour, tournament behaviour
DOI: 10.1177/031289620703200206
ISSN: 0312-8962
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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