[2015년 제 2차] Reaching for Yield or Playing It Safe? Risk Taking
작성자 : 관리자
조회수 : 1094
게시일 :
2015-06-03
In a low-interest-rate environment, bond mutual funds may have a strong incentive to hold bonds with higher yields compared with their benchmarks (reaching for yield) in order to attract more inflows. This paper investigates reaching for yield among corporate bond mutual funds. We nd that the main vehicle for reaching for yield is non-AAA investment-grade bonds. Funds engage in negative reaching for yield (playing it safe) with both AAA-rated and high-yield bonds. Funds reach for yield more when the level and slope of the yield curve are low and when the default spread is narrow. In the cross section, young and large funds with high expense ratios engage in reaching for yield to a greater extent. We also nd that when funds change their portfolios to increase reaching for yield, they experience increased flows, indicating that investors respond positively to this behavior. Funds that engage in reaching for yield generate relatively higher returns, but their superior performance is explained by common risk factors and thus driven mainly by risk-taking rather than skill.