TESTING A NON-LINEAR EFFECT IN THE RISK SHIFTING-TOURNAMENT MODEL APPLIED TO AUSTRALIAN SUPERANNUATION FUNDS
Vol. 9, Nr.2/2010 , p210..217
Author(s):
Terry HALLAHAN
Robert W. FAFF
Keywords:
Tournaments, Mutual Funds, Non-linear Test
Abstract:
We investigate the tournament induced risk-shifting behavior of Australian superannuation funds, allowing for non-linearities. We apply a regression-based methodology and examine tournaments based on the calendar year and the financial year. We characterize a small set of non-linear tournament outcomes and find mixed evidence across these different cases.
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