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- W2912690926 abstract "The innovation in our paper is to look at the idiosyncratic risk of mutual fund in addition to the volatility of mutual fund returns. If idiosyncratic risk can be eliminated by a well-diversified portfolio, then there is no or little idiosyncratic risk in mutual fund. We find the idiosyncratic risk can not be eliminated and when the returns of mutual fund are negative and they also have higher idiosyncratic risk. The evidence shows that the variance of the market has no forecasting power for the mutual fund return, but we find a negative relation between the idiosyncratic risk and next year returns of mutual fund. We also find returns and the yearly idiosyncratic risk of aggressive-growth funds even larger than other groups. The estimates also suggest that younger funds have higher returns and the lowest idiosyncratic risk. When we use some factors to explain what causes the difference of idiosyncratic risk. We find high turnover ratio and old funds may have high idiosyncratic risk and reduce fund's return. We also find older managers and manager with longer tenure have lower idiosyncratic risk, so they can earn lower returns. If we consider the momentum effect, the evidence show that funds following momentum strategies may have high idiosyncratic risk and reduce next year return. When we consider the persistence effect, one year idiosyncratic risk is mostly eliminated after one year." @default.
- W2912690926 created "2019-02-21" @default.
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- W2912690926 date "2009-01-01" @default.
- W2912690926 modified "2023-09-23" @default.
- W2912690926 title "Idiosyncratic Risk in Mutual Fund" @default.
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- W2912690926 doi "https://doi.org/10.2139/ssrn.1340785" @default.
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