Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
พฤติกรรมการปรับเปลี่ยนความเสี่ยงของกองทุนรวม: กรณีศึกษาในประเทศไทย
Year (A.D.)
2022
Document Type
Independent Study
First Advisor
Roongkiat Ratanabanchuen
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2022.302
Abstract
The paper aims to examine whether risk-shifting behavior exists in Thai equity mutual funds or not. The empirical analysis studies the period from 2005 to 2022. It is investigated that risk-shifting behavior exists in Thailand by having compensation and employment incentive influences fund managers’ decision on risk shifting. Firstly, this study uses the states of the market which are positive and negative market returns as the proxy of compensation and employment incentive, respectively. The finding is illustrated that mid-year losers take more risk of the portfolio in the latter half of the year in both positive and negative market return periods where the greater risk adjustment is found in the positive market return period. This relationship is the same for both tax and non-tax-privileged mutual funds. Also, the paper finds a stronger degree of risk shifting in tax than non-tax-privileged mutual funds. Secondly, this study uses the profitability of the companies which the fund managers work under as another proxy. High and low profitability companies can refer to the domination of compensation and employment incentives respectively. The paper finds that underperformed fund managers increase the portfolio risk in the latter half of the year when working under high-profitability companies. The result is the same for low-profitability companies but a weaker degree of risk shifting.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Ekjariyakorn, Suphitcha, "Risk shifting in mutual funds: evidence in Thailand" (2022). Chulalongkorn University Theses and Dissertations (Chula ETD). 10019.
https://digital.car.chula.ac.th/chulaetd/10019