Loading...

Risk Shifting and Mutual Fund Performance: Evidence from Iran

Fallah, Mohammad Amin | 2019

661 Viewed
  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 52258 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Vesal, Mohammad; Ebrahimnejad, Ali
  7. Abstract:
  8. Despite having major advantages such as expert management, economy of scale and lower analysis costs for investors, the mutual funds may still underperform (at suboptimal levels) due to factors like information asymmetry between fund managers and unitholders along with the difficulties involving assessment of manager's performance by investors. So the conflict of interest between the manager and unitholders propels them towards deciding to manipulate the risk measure of the fund for reasons other than the maximization of profits for unitholders by shifting risk level of the portfolio. For instance, the promise of non-linear growth in attracting money by obtaining a considerable ranking amongst the top funds, however, risk-shifting may also be a just reaction to capture profiting opportunities in the market and an unavoidable result of active portfolio management. The current research is concerned with the assessment of risk-shifting in Iranian mutual funds and their effects on the performance to analyze the combined effect of such incentives on their performance. The results show that unlike the norm observed in international markets, in Iran increasing the risk level of mutual funds’ portfolio leads to higher risk-adjusted return and also that lowering the risk has no significant effect on its risk-adjusted return. We argue that such discrepancy may be due to the inefficiency and therefore the predictability of Iran's market that provides the fund managers with informational and analytical advantages over the market as a whole
  9. Keywords:
  10. Tehran Stock Exchange ; Mutual Fund ; Risk Shifting ; Active Portfolio Management ; Asymmetric Information ; Iranian Mutual Funds

 Digital Object List

 Bookmark

No TOC