Do Fund Managers Expect Mean Averting Returns?

Abstract This paper finds that fund managers do not expect mean reverting returns, as suggested by theory and empirical evidence, but mean averting returns. The degree of mean aversion is positively related to preferences for non-fundamental information and loss aversion

Sichtweisen und Anlageverhalten des österreichischen Fondsmanagements

Die Untersuchung basiert auf einer schriftlichen Befragung von Fondsmanagern in Österreich. Sie offenbart deren positive Selbsteinschätzung hinsichtlich des beruflichen Erfolges, ohne dabei mit exzessiver Überschätzung des eigenen Informationsstandes verbunden zu sein. Das Anlageverhalten der Fondsmanager weist grundsätzlich kaum Verzerrungen auf - weder exzessive Handelsaktivität, noch einen Dispositionseffekt oder Verlustaversion. Allerdings ist festzustellen, dass insbesondere jüngere, unerfahrene Fondsmanager zum Herdenverhalten neigen. In der Untersuchung offenbaren letztere aber keine höhere Risikoaversion, die im Allgemeinen mit Herdenverhalten assoziiert wird.Fondsmanagement, Overconfidence, Herdenverhalten, Entscheidungsverhalten

Risk Management, Rational Herding and Institutional Investors: A Macro View

As institutional investors are engaged to realize attractive risk-adjusted returns, they can by definition be seen as risk managers. This paper analyzes their risk management behavior from a macro perspective and focuses on their incentives for rational herding. Based on a questionnaire survey we find clear evidence of herding among fund managers in Germany. While all different subgroups of fund managers perceive institutional herding, senior fund managers perceive herding even more strongly than more junior managers. Regarding herding as rational strategy of adapting to incentives, one might ascribe this finding to the higher pressure of success that senior managers face.Institutional investors, herd behavior, momentum strategy

What Drives Home Bias? Evidence from Fund Managers Views

A survey of fund managers reveals home bias for these sophisticated investors in an unrestricted setting. Proximity, perceived informational advantage and higher expected returns are confirmed as accompanying factors. In addition, the home bias of equity managers is also related to institutional, informational and behavioral characteristics. The perceived informational advantage does not seem to be valid. Multivariate analyses indicate that home bias is mainly related to relative return optimism, non-fundamental information and peculiar behavior towards risk. We interpret these as characteristics of less than fully rational behavior. It is consistently found that this pattern does not apply to bond managers.Home bias, institutional investors, local information advantage, non-fundamental information, disposition effect

Bonus Payments and Fund Managers’ Behaviour: Trans-Atlantic Evidence

This questionnaire survey of fund managers in the United States, Germany and Switzerland documents a distinctly positive influence of bonus payments on investment behaviour on both sides of the Atlantic. Higher bonus payments are significantly related to higher working effort but not to risk taking. They also seem to induce fund managers to rely more on fundamental information. Findings within regions are confirmed by Trans-Atlantic evidence as US fund managers receive larger bonuses but also show the effects to a higher degree. The effects documented are stronger for relative than for absolute performance assessment.fund managers; fundamental information; incentives