On the Demand for High-beta Stocks

Evidence from Mutual Funds

Research output: Contribution to journalJournal articleResearchpeer-review

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Abstract

Prior studies have documented that pension plan sponsors often monitor a fund’s performance relative to a benchmark. We use a first-difference approach to show that in an effort to beat benchmarks, fund managers controlling large pension assets tend to increase their exposure to high-beta stocks, while aiming to maintain tracking errors around the benchmark. The findings support theoretical conjectures that benchmarking can lead managers to tilt their portfolio toward high-beta stocks and away from low-beta stocks, which can reinforce observed pricing anomalies.
Original languageEnglish
JournalThe Review of Financial Studies
Volume30
Issue number8
Pages (from-to)2596-2620
ISSN0893-9454
DOIs
Publication statusPublished - 2017

Bibliographical note

Published online: 04 April 2017

Cite this

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On the Demand for High-beta Stocks : Evidence from Mutual Funds. / Christoffersen, Susan E. K.; Simutin, Mikhail.

In: The Review of Financial Studies, Vol. 30, No. 8, 2017, p. 2596-2620.

Research output: Contribution to journalJournal articleResearchpeer-review

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