Mutual Fund Tournaments: The Sorting Bias and New Evidence
研究发现，此前关于年中表现不佳的基金经理风险转移行为的结论存在“排序偏差”，纠正偏差后证实了锦标赛行为的存在。
Previous findings regarding the risk-shifting behavior of mid-year underperforming mutual fund managers are mixed. In this article, I show that this is due to a "sorting bias, " which is caused by the sorting of first-half risk levels when establishing relative mid-year performance. Even without risk-shifting behavior, mean reversion of these sorted risk levels results in the detection of tournament behavior. After correcting for this bias, I find evidence supporting the hypothesis that first-half underperforming managers increase portfolio risk during the second half of the year and that this tournament behavior is not dependent on first-half market conditions. The Author 2011. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.