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Article: An Equilibrium Model of Risk Management Spillover

TitleAn Equilibrium Model of Risk Management Spillover
Authors
KeywordsDelegated portfolio management
Relative performance
Risk management
Spillover
Issue Date2019
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jbf
Citation
Journal of Banking & Finance, 2019, v. 107, p. 105604 How to Cite?
AbstractThis paper investigates the effects of relative performance concerns on fund managers’ behavior when managers are heterogeneous in their risk management practices. We find that relative performance concerns have distinct effects on different managers as follows: managers without risk management constraints conduct risk management, while those with risk management constraints do not change their trading. Our results suggest that a small number of fund managers with risk management requirements can have a significant impact on the market. Our theory can potentially reconcile the long-lasting debate regarding the impact of risk management on financial markets.
Persistent Identifierhttp://hdl.handle.net/10722/284499
ISSN
2019 Impact Factor: 2.269
2015 SCImago Journal Rankings: 1.264

 

DC FieldValueLanguage
dc.contributor.authorHuang, S-
dc.contributor.authorJiang, Y-
dc.contributor.authorQiu, Z-
dc.contributor.authorYe, Z-
dc.date.accessioned2020-08-07T08:58:32Z-
dc.date.available2020-08-07T08:58:32Z-
dc.date.issued2019-
dc.identifier.citationJournal of Banking & Finance, 2019, v. 107, p. 105604-
dc.identifier.issn0378-4266-
dc.identifier.urihttp://hdl.handle.net/10722/284499-
dc.description.abstractThis paper investigates the effects of relative performance concerns on fund managers’ behavior when managers are heterogeneous in their risk management practices. We find that relative performance concerns have distinct effects on different managers as follows: managers without risk management constraints conduct risk management, while those with risk management constraints do not change their trading. Our results suggest that a small number of fund managers with risk management requirements can have a significant impact on the market. Our theory can potentially reconcile the long-lasting debate regarding the impact of risk management on financial markets.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jbf-
dc.relation.ispartofJournal of Banking & Finance-
dc.subjectDelegated portfolio management-
dc.subjectRelative performance-
dc.subjectRisk management-
dc.subjectSpillover-
dc.titleAn Equilibrium Model of Risk Management Spillover-
dc.typeArticle-
dc.identifier.emailHuang, S: huangsy@hku.hk-
dc.identifier.authorityHuang, S=rp02052-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.jbankfin.2019.08.002-
dc.identifier.scopuseid_2-s2.0-85070623419-
dc.identifier.hkuros312017-
dc.identifier.volume107-
dc.identifier.spage105604-
dc.identifier.epage105604-
dc.publisher.placeNetherlands-

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