| Equity Fund Risk Increase and Cash Flows |
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Yeon Jeong Ha, Byung Chun Kim, Kwang Soo Ko |
| 주식형 펀드의 위험 증가와 현금흐름 |
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하연정, 김병천, 고광수 |
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| Abstract |
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Based on the convex relationship between fund performance and cash flows, many studies show that loser funds increase their risk to improve the performance. However, in their recent paper, Huang, Sialm, and Zhang (2011) show that the performance is particularly severe for funds that increase their risk. This paper examines the relationship between risk increase and cash flows regardless of the convex flow-performance relationship, the tournament behavior of equity funds, and the performance consequences of risk-increase. The main results are as follows: First, risk-increase dose not affects cash flows, which implies that fund’s assets under management are not changed by risk increase. Second, when the performance is worse, risk increase has a positive effect on cash flows so that fund investors should experience the consequent return-decrease. Third, the effects of risk increase persist for several months. Last, fund-size and -age influence the relationship between risk increase and cash flows. When the performance is worse in small or young funds, risk increase has more positive effect on cash flows than in big or old funds. We find clear evidence that risk-increase does not reduce net flows of equity funds. Such an effect might be due to the effect of risk increase that prevents outflows, which implies that the behavior of fund investors gives fund managers a motivation to increase risk. |
| Key Words:
순현금흐름,시장 점유율 변화,위험 증가,펀드 규모 및 연령,펀드 성과,Fund Performance,Fund Size and Age,Market Share Changes,Net Flows,Risk-Increase |
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