How Are Derivatives Used? Evidence from the Mutual Fund Industry

@inproceedings{Koski1999HowAD,
  title={How Are Derivatives Used? Evidence from the Mutual Fund Industry},
  author={Jennifer Lynch Koski and Jeffrey Pontiff},
  year={1999}
}
Approximately 20% of the 675 equity mutual funds analyzed in this paper invest in derivatives. We compare the return distributions of equity mutual funds that invest in derivatives to those that do not. We also analyze the use of derivatives to affect intertemporal changes in fund risk. Equity mutual funds that invest in derivatives have similar risk and similar net return performance in those that do not. Change in fund risk is negatively related to past performance, but derivatives allow… CONTINUE READING

Topics from this paper.

References

Publications referenced by this paper.
SHOWING 1-10 OF 11 REFERENCES

The derivatives activities of U.S. commercial banks: Hedging, speculating, and selling risk-management services, Unpublished working paper, University of Georgia

  • Sinkey, Jr., F Joseph, David A. Carter
  • 1995

SEC Chief Levitt warns mutual funds to be cautious in handling derivatives

  • Anderson, H Mark
  • The Wall Street Journal,
  • 1994

Inter-temporal asset pricing

  • Shanken, Jay
  • Journal of Econometrics
  • 1990

The new option markets, in Anne E. Peck, ed: Futures Markets: Their Economic Role (American Enterprise Institute for Public Policy Research)

  • Stoll, R Hans, Robert E. Whaley
  • Taylor, Jeffrey and Sara Calian,
  • 1985

Similar Papers

Loading similar papers…