Fund tournaments and style drift

IF 7.5 1区 经济学 Q1 BUSINESS, FINANCE International Review of Financial Analysis Pub Date : 2024-11-01 DOI:10.1016/j.irfa.2024.103730
{"title":"Fund tournaments and style drift","authors":"","doi":"10.1016/j.irfa.2024.103730","DOIUrl":null,"url":null,"abstract":"<div><div>This paper examines how Chinese mutual funds actively alter the style drift of their top ten holdings in response to past performance in annual tournaments from the three dimensions: size, value, and momentum. Using a sample of equity funds from 2006 to 2023, we find that poorly performing funds in the first three quarters tend to increase their style drift activities in the last quarter. For different dimensions of style drift, we find that simply increasing size drift can improve the performance and ranking of a trailing fund and reduce the risk of the fund's net value crash. The evidence suggests that the intentional shifts in size drift are skilled. In addition, we find the better consequences of size drift change to be particularly pronounced for tournament funds with high activeness.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5000,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521924006628","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

Abstract

This paper examines how Chinese mutual funds actively alter the style drift of their top ten holdings in response to past performance in annual tournaments from the three dimensions: size, value, and momentum. Using a sample of equity funds from 2006 to 2023, we find that poorly performing funds in the first three quarters tend to increase their style drift activities in the last quarter. For different dimensions of style drift, we find that simply increasing size drift can improve the performance and ranking of a trailing fund and reduce the risk of the fund's net value crash. The evidence suggests that the intentional shifts in size drift are skilled. In addition, we find the better consequences of size drift change to be particularly pronounced for tournament funds with high activeness.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
基金锦标赛和风格漂移
本文从规模、价值和动量三个维度考察了中国共同基金如何在年度锦标赛中根据过往表现主动改变其前十大持股的风格漂移。以 2006 年至 2023 年的股票型基金为样本,我们发现在前三个季度表现不佳的基金往往会在最后一个季度增加其风格漂移活动。对于不同维度的风格漂移,我们发现,仅仅增加规模漂移就能提高落后基金的业绩和排名,并降低基金净值暴跌的风险。证据表明,规模漂移的有意转变是有技巧的。此外,我们还发现,规模漂移变化对活跃度高的锦标赛基金的影响尤为明显。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
CiteScore
10.30
自引率
9.80%
发文量
366
期刊介绍: The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.
期刊最新文献
Sovereign momentum currency returns When the tide wanes: A study of post systemic collapse portfolio management Evaluating the sophisticated digital assets and cryptocurrencies capacities of substituting international currencies in inflationary eras Do regional trusts alleviate bond market risks? Evidence from the Chinese municipal corporate bond pricing The unintended consequence of environmental centralization: Evidence from firm financialization
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1