Do Derivatives Have a Role in the Risk-Shifting Behaviour of Fund Managers?

Karen L. Benson, Robert W. Faff, John Nowland

Research output: Contribution to journalArticleResearchpeer-review

10 Citations (Scopus)

Abstract

In this paper we examine the extent to which derivatives are used to affect the risk-shifting behaviour of Australian equity fund managers. We find, after periods of good and poor performance, the risk-shifting behaviour of fund managers is different between derivative users and non-users. Our results support the gaming and active competition hypotheses but there is little support for the cash flow hypothesis. The study also allows for a complex reporting environment by analysing data across three alternate time periods: the calendar year, financial year and quarterly frames. Given that our results are not consistent across time periods for users and non-users of derivatives, some caution in interpretation is required.

Original languageEnglish
Pages (from-to)271-292
Number of pages22
JournalAustralian Journal of Management
Volume32
Issue number2
DOIs
Publication statusPublished - Dec 2007
Externally publishedYes

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