Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244278 
Authors: 
Year of Publication: 
2021
Series/Report no.: 
ESRB Working Paper Series No. 126
Publisher: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Abstract: 
Mutual fund risk-taking via active portfolio rebalancing varies both in the crosssection and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of synthetic leverage, which can be estimated based on publicly available information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage from mid-2015 up until early 2019. In the cross-section, I find that synthetically leveraged funds tend to underperform and display higher levels of fragility.
Subjects: 
leverage
risk-taking
derivatives
securities lending
mutual funds
JEL: 
G11
G23
E44
Persistent Identifier of the first edition: 
ISBN: 
978-92-9472-233-1
Document Type: 
Working Paper

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