Do Shocks to Personal Wealth Affect Risk Taking in Delegated Portfolios?
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DESMARAIS GLOBAL FINANCE RESEARCH CENTRE
National Bank Seminar Series
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FRIDAY, March 27, 2015
10:00 AM 鈥� 11:30 AM
Bronfman Bldg., Rm. 002
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Do Shocks to Personal Wealth Affect
Risk Taking in Delegated Portfolios?
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Scott E. Yonker
Johnson Graduate School of Management
Cornell University
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All are cordially invited to attend.
Abstract:听
Using exogenous wealth shocks stemming from the collapse of the housing market, we show that managers who experience substantial losses in their home values subsequently reduce the risk in their funds. The decline in fund risk is seen 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 鈥渟elected鈥� style critique of Fee, Hadlock, and Pierce (2013).
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