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• W1511955660 abstract "This paper is the first to present evidence on the magnitude of derivative use by mutual funds. Using a unique data set of detailed balance sheet information on open-end mutual funds, we characterize the nature of derivative use by these funds. Most mutual funds using derivatives do so to a very limited extent that has little discernable impact on returns. However, there exist two types of funds that make more extensive use of derivatives, global funds and specialized domestic equity funds. The risk and return characteristics of these two groups of funds are significantly different from funds employing derivatives sparingly or not at all. We find evidence that fund managers time their use of derivatives in response to past returns.Specifically we show that past returns are positively related to derivative use, consistent with the cash flow hypothesis of Lynch-Koski and Pontiff. But we also find that the relationship between derivative use and past returns becomes negative at year end, which is consistent with the managerial incentive hypothesis of Brown, Harlow and Starks and Chevalier and Ellison. Finally, evidence during the financial crisis of August 1998 supports the hypothesis that the effects of derivative use are most pronounced during periods of extreme movement although there is no evidence in derivative use of managers' market ex ante timing ability. Cet article est le premier a analyser l ampleur de l utilisation des produits derives par les fonds communs de placement. En utilisant une banque de donnees exclusive de bilans de transactions sur les fonds communs de placement, nous caracterisons la nature de l utilisation des produits derives par ces fonds. La plupart des fonds communs de placement qui utilisent des derives le font a un degre si limite que cela a peu d'impact sur les rendements. Cependant, il existe deux types de fonds mutuels qui se servent plus intensement des produits derives : les fonds globaux et des fonds d actions domestiques specialises. Les caracteristiques de risque et de rendement de ces deux groupes de fonds sont sensiblement differents de celles des fonds utilisant parcimonieusement ou pas du tout les produits derives. Nos resultats montrent que les gestionnaires de fonds utilisent des produits derives en reponse aux rendements passes. Plus specifiquement, nous montrons que les rendements passes sont positivement lies a l'utilisation des derives, ce qui est conforme au cash flow hypothesis de Lynch-Koski et Pontiff. Mais nous constatons egalement que le rapport entre l'utilisation des produits derives et les rendements passes devient negatif a la fin de l annee, ce qui est conforme a la managerial incentive hypothesis de Brown, Harlow & Starks et de Chevalier & Ellison. En conclusion, les resultats obtenus a partir des donnees de la crise financiere d'aout 1998 montrent que les effets de l utilisation des derives sont les plus prononces pendant les periodes de mouvement extreme bien que l utilisation observee des derives ne montrent aucune capacite de synchronisation avec le marche ex ante de la part des gestionnaires de fonds." @default.
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• W1511955660 date "2001-11-01" @default.
• W1511955660 modified "2023-09-27" @default.
• W1511955660 title "Derivatives Do Affect Mutual Funds Returns : How and When?" @default.
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