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Implication of Regret on Mutual Fund Managers' Risk-Shifting Decision

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorBenyelles, Bouchra
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorArisoy, Eser
dc.date.accessioned2019-09-11T10:21:49Z
dc.date.available2019-09-11T10:21:49Z
dc.date.issued2019
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19775
dc.language.isoenen
dc.subjectRegret theoryen
dc.subjectMutual Fundsen
dc.subjectRisk shiftingen
dc.subject.ddc658.4en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G2.G23en
dc.subject.classificationjelJ.J2.J24en
dc.titleImplication of Regret on Mutual Fund Managers' Risk-Shifting Decisionen
dc.typeCommunication / Conférence
dc.description.abstractenWe investigate whether regret can explain mutual fund managers' risk-shifting behavior. We propose a theoretical framework by introducing a modi_ed utility function for mutual fund managers who are both risk averse and regret averse. The empirical tests of the proposed framework imply that mutual fund managers who perform worse than their peers (i.e., who exhibit return-regret) tend to have a positive risk-shifting, whereas those who have a higher portfolio volatility (i.e., who exhibit variance-regret) tend to have a negative risk-shifting behavior over the next period. Furthermore, we document that the e_ect of variance regret is more signi_cant for institutional funds than for retail funds. Finally, when considering fund ows, the return-regret e_ect is more signifcant than the variance-regret e_ect, conrming that investors' outows are mainly due fund managers' bad performance relative to their peers. The results are robust to using alternative measures of regret based on funds' potential benchmarks.en
dc.contributor.countryeditoruniversityotherFRANCE
dc.subject.ddclabelPrise de décisionen
dc.relation.conftitle3rd Workshop of the European Capital Markets Cooperative Research Centre (ECMCRC)en
dc.relation.confdate2019-07
dc.relation.confcityDublinen
dc.relation.confcountryIrelanden
dc.relation.forthcomingnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2019-06-14T10:12:13Z
hal.identifierhal-02283899*
hal.version1*
hal.update.actionupdateFiles*
hal.author.functionaut
hal.author.functionaut


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