1996/03/01 by KEITH C. BROWN, Keith C. Brown, W. V. HARLOW +3 · 1,404 citations
Business, Management and Accounting · Economics, Econometrics and Finance · #Business #Closed-end fund #Corporate Finance and Governance #Corporate governance #Economics #Finance #Financial Literacy, Pension, Retirement Analysis #Financial Markets and Investment Strategies #Fund administration #Fund of funds #Incentive #Institutional investor #Investment fund #Investment management #Manager of managers fund #Microeconomics #Monetary economics #Mutual fund #Open-end fund #Target date fund #Volatility (finance)
paper · doi:10.1111/j.1540-6261.1996.tb05203.x
published in The Journal of Finance 51(1), 85-110 (Wiley)
openalex publication_date 1996/03/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
ABSTRACT We test the hypothesis that when their compensation is linked to relative performance, managers of investment portfolios likely to end up as “losers” will manipulate fund risk differently than those managing portfolios likely to be “winners.” An empirical investigation of the performance of 334 growth‐oriented mutual funds during 1976 to 1991 demonstrates that mid‐year losers tend to increase fund volatility in the latter part of an annual assessment period to a greater extent than mid‐year winners. Furthermore, we show that this effect became stronger as industry growth and investor awareness of fund performance increased over time.