The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
(
http://www.gutmann-center.at)
is pleased to announce the following
PUBLIC LECTURE:
Date: June 4th, 2003 (Wednesday), 4.30 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
(
http://www.gutmann.at)
Speaker: Russel R. Wermers,
Professor of Finance, University of Maryland
http://www.rhsmith.umd.edu/Finance/rwermers/
Russel R. Wermers is Professor of Finance at the Robert H. Smith School
of Business,University of Maryland at College Park.
Numerous publications in top-class journals such as American Economic
Review, Journal of Finance, Journal of Financial and Quantitative
Analysis. Current research interests: mutual fund performance
measurement, the impact of mutual funds on stock markets, and empirical
tests of the efficiency of stock markets.
Title: "Games Asset Managers Play"
Abstract:
What types of games do asset managers play, knowing that they are being
judged by their performance records each year? Prior research indicates
that mutual fund managers play a yearly tournament. Specifically,
mid-year losing funds increase their risk during the second half of the
year in an attempt to overtake mid-year winning funds, while mid-year
winners decrease their risk to lock in their relative position.
This talk will describe the results of a new study of mutual fund
tournaments that digs deeper into the determinants of risk-taking
behavior by managers. We show that fund managers pay attention not only
to their mid-year performance records, relative to their peers, but also
to the amount of risk that they have taken in the past. That is, fund
managers behave as if they have a risk budget, which sometimes leads
to behavior that runs counter to that predicted by prior studies. For
example, a fund manager who has taken a substantial amount of risk
during the first half of a year, and loses, tends to reduce risk during
the second half of the year.
Our results provide new insights into the sponsor-manager agency
problem, which, in turn, provides sponsors with new insights into the
risks of delegated portfolio management.
Please register - Contact:
Brigitte Juchelka, Bank Gutmann AG
mail: brigitte.juchelka(a)gutmann.at
Tel.: +43-1-50220-357
Fax: +42-1-50220-249