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Do aggressive funds reallocate their portfolios aggressively?
Author(s) -
Chiang Kevin C. H.,
Zhou Xiyu Thomas
Publication year - 2009
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.2009.00300.x
Subject(s) - asset allocation , portfolio , passive management , business , global assets under management , asset (computer security) , risk aversion (psychology) , variance (accounting) , portfolio allocation , monetary economics , economics , financial economics , institutional investor , actuarial science , finance , fund of funds , econometrics , market liquidity , computer science , expected utility hypothesis , accounting , corporate governance , computer security
This study examines pairs of asset allocation mutual funds that are controlled for all informational attributes, except for the level of risk aversion. Standard mean‐variance models of portfolio choice suggest that the percentage rebalancing of common stocks in aggressive funds would be the same as that in conservative funds. However, this study finds the rebalancing of common stocks in aggressive funds to be disproportionally less intense.