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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorBenyelles, Bouchra
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorArisoy, Eser
dc.date.accessioned2019-09-11T10:10:00Z
dc.date.available2019-09-11T10:10:00Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19774
dc.language.isoenen
dc.subjectRegret theoryen
dc.subjectMutual Fundsen
dc.subjectRisk shiftingen
dc.subject.ddc658.4en
dc.subject.classificationjelJ.J2.J24en
dc.subject.classificationjelG.G2.G23en
dc.subject.classificationjelG.G1.G11en
dc.titleImplication of Regret on Mutual Funds Managers Risk-Shifting Decisionen
dc.typeCommunication / Conférence
dc.description.abstractenWe investigate whether regret can explain mutual fund managers’ risk-shifting behav-ior. We propose a theoretical framework by introducing a modified utility functionfor mutual fund managers who are both risk averse and regret averse. The empiricaltests of the proposed framework imply that mutual fund managers who perform worsethan their peers (i.e., who exhibit return-regret) tend to have a positive risk-shifting,whereas those who have a higher portfolio volatility (i.e., who exhibit variance-regret)tend to have a negative risk-shifting behavior over the next period. Furthermore, wedocument that the effect of variance regret is more significant for institutional fundsthan for retail funds. Finally, when considering fund flows, the return-regret effect ismore significant than the variance-regret effect, confirming that investors’ outflows aremainly due fund managers’ bad performance relative to their peers. The results arerobust to using alternative measures of regret based on funds’ potential benchmarks.en
dc.contributor.countryeditoruniversityotherFRANCE
dc.subject.ddclabelPrise de décisionen
dc.relation.conftitle11th Annual Meeting of the Academy of Behavioral Finance & Economicsen
dc.relation.confdate2018-10
dc.relation.confcityChicagoen
dc.relation.confcountryUnited Statesen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2019-06-14T09:58:26Z
hal.identifierhal-02283886*
hal.version1*
hal.update.actionupdateFiles*
hal.author.functionaut
hal.author.functionaut


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