Universität zu Köln

Cici, Gjergji and Palacios, Luis-Felipe (2015). On the use of options by mutual funds: Do they know what they are doing? J. Bank Financ., 50. S. 157 - 169. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 1872-6372

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Abstract

Given recent regulatory inquiries into the derivative-trading practices of mutual funds, we examine their detailed option holdings to assess how mutual funds employ options, what funds use options, and how that affects performance and risk. Mutual funds' use of options appears consistent with income generation and hedging motives, is systematically related to experience, education, and gender characteristics of portfolio managers, and does not lead to performance benefits, on average. Instead, certain uses of options lead to underperformance. We document no permanent or temporary aggressive risk taking by options users, finding instead that some funds use options to effectively lower risk. (C) 2014 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Cici, Gjergji UNSPECIFIED UNSPECIFIED UNSPECIFIED Palacios, Luis-Felipe UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-419110
DOI:	10.1016/j.jbankfin.2014.09.008
Journal or Publication Title:	J. Bank Financ.
Volume:	50
Page Range:	S. 157 - 169
Date:	2015
Publisher:	ELSEVIER SCIENCE BV
Place of Publication:	AMSTERDAM
ISSN:	1872-6372
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language STOCK-PRICES; PERFORMANCE; INDUSTRY; VOLUME; RISK; INVESTMENT; MANAGEMENT; BEHAVIOR; MARKETS Multiple languages Business, Finance; Economics Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/41911