Cullen, Grant; Gasbarro, Dominic; Monroe, Gary S.; … - In: Journal of Banking & Finance 36 (2012) 1, pp. 112-120
An empirical issue is whether a mutual fund’s change in intertemporal risk is intentional or arises from risk mean reversion. Our methodology uses actual fund trades to identify funds that actively change risk. Funds that are statistically identified as trading to change return variance or...