How Are Derivatives Used? Evidence from the Mutual Fund Industry
通过比较使用和不使用衍生品的股票型共同基金的回报分布，发现衍生品使用者的风险暴露和业绩与非使用者相似，但使用衍生品能显著降低基金因前期业绩变化而调整风险的程度，为衍生品在风险管理中的作用提供了新证据。
We investigate investment managers' use of derivatives by comparing return distributions for equity mutual funds that use and do not use derivatives. In contrast to public perception, derivative users have risk exposure and return performance that are similar to nonusers. We also analyze changes in fund risk in response to prior fund performance. Changes in risk are substantially less severe for funds using derivatives, consistent with the explanation that managers use derivatives to reduce the impact of performance on risk. We provide new evidence regarding the implications of cash flows and managerial gaming for the relation between performance and risk.