Another Look at Mutual Fund Tournaments
用日收益率数据重新检验共同基金是否根据过往业绩主动调整风险，发现月数据中表现差的基金更冒险的结论在日数据中消失，原因是月波动率估计受日收益自相关影响存在偏差。
Daily returns are used to examine how mutual funds actively alter the risk of their portfolios in response to past performance. Compared to monthly data, daily returns produce much more efficient estimates of fund volatility, which give vastly different inferences about the behavior of fund managers. In particular, monthly results consistent with under-performers increasing their risk relative to better performing funds disappear with daily data. The differences in the monthly and daily results arise from biases in the monthly volatility estimates attributable to daily return autocorrelation.