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having faith in your trade：mutual fund risk-taking and local religious beliefs

having faith in your trade：mutual fund risk-taking and local religious beliefs

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页数：63页

时间：2018-07-18

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1、HavingFaithinYourTrade：MutualFundRisk-TakingandLocalReligiousBeliefs?HavingFaithinYourTrade:MutualFundRisk-TakingandLocalReligiousBeliefsTaoShuUniversityofGeorgiataoshu@terry.uga.eduJohanSulaemanSouthernMethodistUniversitysulaeman@smu.eduP.EricYeungUniversityofG

2、eorgiayeung@terry.uga.eduThisDraft:December2009AbstractWeexaminetherelationsbetweenmutualfundrisk-takingbehaviorsandlocalreligiousbeliefs.WefindthatfundslocatedinregionswithlowerProtestantpopulationorhigherCatholicpopulationtendtohavehighervolatilitiesoffundretu

3、rns,consistentwithProtestants(Catholics)beingmore(less)risk-aversecomparedtogeneralpopulation.Thevariationinsystematicriskexposuresexplainsonlyasmallportionofthisdifferenceasweobserveasimilarpatterninidiosyncraticportfoliorisks.Wealsofindthatintra-yearincreasesi

4、nfundvolatilityassociatedwithtournament-likecompetitionexistonlyinmutualfundslocatedinareaswithlowerProtestantorhigherCatholicpopulation.Aftercontrollingforexposurestocommonriskfactors,wefindlittleevidencethathigherreturnvolatilityisrewardedwithhigherreturns.Fun

5、dslocatedinlowerProtestantpopulationareasalsoappeartotrademorefrequentlyandhavemorepositivereturngaps.Overall,ourfindingssuggestthatthelevelofrisk-takingbymutualfundmanagersvariesreliablywithlocalreligiousbeliefs.??HavingFaithinYourTrade:MutualFundRisk-Takingand

6、LocalReligiousBeliefsAbstractWeexaminetherelationsbetweenmutualfundrisk-takingbehaviorsandlocalreligiousbeliefs.WefindthatfundslocatedinregionswithlowerProtestantpopulationorhigherCatholicpopulationtendtohavehighervolatilitiesoffundreturns,consistentwithProtesta

7、nts(Catholics)beingmore(less)risk-aversecomparedtogeneralpopulation.Thevariationinsystematicriskexposuresexplainsonlyasmallportionofthisdifferenceasweobserveasimilarpatterninidiosyncraticportfoliorisks.Wealsofindthatintra-yearincreasesinfundvolatilityassociatedw

8、ithtournament-likecompetitionexistonlyinmutualfundslocatedinareaswithlowerProtestantorhigherCatholicpopulation.Aftercontrollingforexposurestocommonriskfactors,wefindl

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