Debt Derisking
研究了公司债券基金经理如何因应激励操纵投资组合风险，发现业绩落后的基金经理为应对流动性风险而牺牲收益换取流动性，去风险化行为在压力时期更强，但灵活净值定价可能削弱该激励并引发道德风险。
We examine how corporate bond fund managers manipulate portfolio risk in response to incentives. We find that liquidity risk concerns drive the allocation decisions of underperforming funds, whereas tournament incentives are of secondary importance. This leads laggard fund managers to trade off yield for liquidity while holding the exposure to other sources of risk constant. The documented derisking is stronger for managers with shorter tenure and is reinforced by a more concave flow to performance sensitivity and by periods of market stress. Derisking meaningfully supports ex post laggard fund returns. Flexible net asset values (swing pricing) may, however, reduce derisking incentives and create moral hazard. This paper was accepted by Agostino Capponi, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.03406 .