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Volume 32 Number 2 December 2007 |
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Do Derivatives Have a Role in the Risk-Shifting Behaviour of Fund Managers? |
| Karen L. Benson Robert W. Faff John Nowland |
Abstract |
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In this paper we examine the extent to which derivatives are used to affect the
risk-shifting behaviour of Australian equity fund managers. We find, after periods of good and poor performance, the risk-shifting behaviour of fund managers is
different between derivative users and non-users. Our results support the gaming and active competition hypotheses but there is little support for the cash flow hypothesis. The study also allows for a complex reporting environment by analysing data across three alternate time periods: the calendar year, financial year
and quarterly frames. Given that our results are not consistent across time periods for users and non-users of derivatives, some caution in interpretation is required.
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Keywords |
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DERIVATIVE USE; MANAGED FUNDS; RISK-SHIFTING BEHAVIOUR; TOURNAMENT BEHAVIOUR
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Contact DetailsKaren L. BensonUQ Business School, University of Queensland, St Lucia, 4072. Robert W. Faff Department of Accounting and Finance, Monash University, Melbourne. John Nowland School of Economics and Finance, Queensland University of Technology, Brisbane Email: k.benson@business.uq.edu.au |
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