Finance Seminar（2014-26）

Topic:Do Shocks to Risk Aversion Affect Risk Taking in Delegated Portfolios?

Speaker:Scott E. Yonker, Indiana University

Time:Friday, 19 September, 10:00-11:30

Location:Room 217,Guanghua Building 2

Abstract:Using exogenous wealth shocks stemming from the collapse of the housing market to induce idiosyncratic changes in fund manager risk aversion, we show that managers experiencing increases in risk aversion subsequently reduce the risk in their funds. The decline in fund risk shows up in total risk, idiosyncratic risk, systematic risk, and in tracking error. Our paper provides evidence that the idiosyncratic personal preferences of mutual fund managers affect their professional decisions and offers a methodology for testing for manager idiosyncratic style effects that is not subject to the “selected” style critique.