Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds

Journal of Empirical Finance - Tập 44 - Trang 91-107 - 2017
David Rakowski1, Sara E. Shirley2, Jeffrey R. Stark2
1College of Business, University of Texas at Arlington, 701 S. West St., Arlington, TX 76019, United States
2Jones College of Business, Middle Tennessee State University, 1301 East Main St., Murfreesboro, TN 37123, United States

Tài liệu tham khảo

Agarwal, 2017, Volatility of aggregate volatility and hedge fund returns, J. Financ. Econ., 10.1016/j.jfineco.2017.06.015 Agarwal, 2004, Risk and portfolio decisions involving hedge funds, Rev. Financ. Stud., 17, 63, 10.1093/rfs/hhg044 Agarwal, 2017, Tail risk in hedge funds: A unique view from portfolio holdings, J. Financ. Econ., 10.1016/j.jfineco.2017.06.006 Almazan, 2004, Why constrain your mutual fund manager?, J. Financ. Econ., 73, 289, 10.1016/j.jfineco.2003.05.007 Bhansali, 2008, Tail risk management, J. Portf. Manag., 34, 68, 10.3905/jpm.2008.709982 Bhansali, 2010, Offensive risk management II: The case for active tail hedging, J. Portf. Manag., 78, 10.3905/jpm.2010.37.1.078 Boehmer, 2008, Which shorts are informed?, J. Financ., 63, 491, 10.1111/j.1540-6261.2008.01324.x Boyson, 2010, Implicit incentives and reputational herding by hedge fund managers, J. Empir. Financ., 17, 283, 10.1016/j.jempfin.2009.10.005 Brown, 1996, Of tournaments and temptation, J. Financ., 73, 289 Cao, 2017, Institutional investment constraints and stock prices, J. Financ. Quant. Anal., 52, 465, 10.1017/S0022109017000102 Chan, 2002, On mutual fund investment styles, Rev. Financ. Stud., 15, 1407, 10.1093/rfs/15.5.1407 Chen, 2013, A first look at mutual funds that use short sales, J. Financ. Quant. Anal., 48, 761, 10.1017/S0022109013000264 Chevalier, 1999, Career concerns of mutual fund managers, Q. J. Econ., 114, 389, 10.1162/003355399556034 Ciccotello, 1997, Matching organizational structure with firm attributes: A study of master limited partnerships, Eur. Financ. Rev., 1, 169, 10.1023/A:1009756222375 Cici, 2015, On the use of options by mutual funds: Do they know what they are doing?, J. Bank. Financ., 50, 157, 10.1016/j.jbankfin.2014.09.008 Cserna, 2012, Counterparty risk in exchange-traded notes (ETNs), J. Fixed Income, 23, 76, 10.3905/jfi.2013.23.1.076 Daniel, 1997, Measuring mutual fund performance with characteristic-based benchmarks, J. Financ., 52, 1035, 10.1111/j.1540-6261.1997.tb02724.x Falkenstein, 1996, Preferences for stock characteristics as revealed by mutual fund portfolio holdings, J. Financ., 51, 111, 10.1111/j.1540-6261.1996.tb05204.x Golec, 2004, Performance fee contract change and mutual fund risk, J. Financ. Econ., 73, 93, 10.1016/j.jfineco.2002.05.001 Heuson, A., Hutchinson, M., Kumar, A., 2016. Skewness, Fund Flows, and Hedge Fund Performance. Working Paper. https://ssrn.com/abstract=2448486. Huang, 2011, Risk shifting and mutual fund performance, Rev. Financ. Stud., 24, 2575, 10.1093/rfs/hhr001 Jiang, 2014, Dispersion in beliefs among active mutual funds and the cross section of stock returns, J. Financ. Econ., 114, 341, 10.1016/j.jfineco.2014.06.003 Jiang, H., Sun, Z., 2015. Equity duration: A puzzle on high dividend stocks. https://ssrn.com/abstract=2678958. Kelly, 2014, Tail risk and asset prices, Rev. Financ. Stud., 27, 2841, 10.1093/rfs/hhu039 Kempf, 2009, Employment risk, compensation incentives, and managerial risk taking: Evidence from the mutual fund industry, J. Financ. Econ., 92, 92, 10.1016/j.jfineco.2008.05.001 Koski, 1999, How are derivatives used? Evidence from the mutual fund industry, J. Financ., 54, 791, 10.1111/0022-1082.00126 Milonas, 2010, Dual offerings of ETFs on the same stock index: US vs. Swiss ETFs, J. Altern. Invest., 97, 10.3905/JAI.2010.12.4.097 Park, 2015, Volatility of volatility and tail risk hedging returns, J. Financ. Mark., 26, 38, 10.1016/j.finmar.2015.05.003 Petersen, 2009, Estimating standard errors in finance panel data sets: Comparing approaches, Rev. Financ. Stud., 22, 435, 10.1093/rfs/hhn053 Sherrill, 2017, Actively managed mutual funds holding passive investments: What do ETF positions tell us about mutual fund ability?, J. Bank. Financ., 76, 48, 10.1016/j.jbankfin.2016.11.025 ter Horst, 2004, Evaluating style analysis, J. Empir. Financ., 11, 29, 10.1016/j.jempfin.2002.12.003 Wright, 2010, Exchange traded notes: An introduction, J. Invest., 19, 27, 10.3905/joi.2010.19.2.027