Description of H2 and H5 variables, tests and results
| ID | Hypotheses | Tests | Results | ||
|---|---|---|---|---|---|
| H2 | The usage of relative risk is independent of whether the manager has passive indexed funds | Coefficient of the variable of interest in the regression | Rejected | ||
| H5 | Managers who comply with a risk budget tend to optimize their portfolios | Coefficient of the variable of interest in the regression | Partially rejected | ||
| Regression equations and tests performed | |||||
| Model | Regression equations | Hypotheses | p-value | *Sig | Results |
| (1) | π(x) = α + β1x + γΓ : where π(x) is the probability of setting a budget based on relative risk and x is the presence of indexed funds. See legend below | h0: β1 = 0 h1: β1 ≠ 0 | 0.096 | * | H0 Rejected |
| (2) | probit[π(x)] = α + β1x + γΓ : see legend in (1) | h0: β1 = 0 h1: β1 ≠ 0 | 0.099 | * | H0 Rejected |
| (3) | π(x) = α + β1x + β2w + γΓ : where π(x) is the probability of performing relative risk optimization, x is the presence of indexed equity funds and w is the use of relative risk budgeting. See legend below | h0: β1 = 0 h1: β1 ≠ 0 h0: β2 = 0 h1: β2 ≠ 0 | 0.058 0.000 | * *** | H0 Rejected H0 Rejected |
| (4) | probit[π(x)] = α + β1x + β2w + γΓ: see legend in (3) | h0: β1 = 0 h1: β1 ≠ 0 h0: β2 = 0 h1: β2 ≠ 0 | 0.046 0.000 | ** *** | H0 Rejected H0 Rejected |
| (5) | π(x) = α + β1v + γΓ: where π(x) is the probability of performing absolute risk optimization and v is the presence of an absolute risk budget. See legend below | h0: β1 = 0 h1: β1 ≠ 0 | 0.800 | H0 Not rejected | |
| (6) | probit[π(x)] = α + β1v + γΓ: see legend in (5) | h0: β1 = 0 h1: β1 > 0 | 0.571 | H0 Not rejected | |
| ID | Hypotheses | Tests | Results | ||
|---|---|---|---|---|---|
| The usage of relative risk is independent of whether the manager has passive indexed funds | Coefficient of the variable of interest in the regression | Rejected | |||
| Managers who comply with a risk budget tend to optimize their portfolios | Coefficient of the variable of interest in the regression | Partially rejected | |||
| Model | Hypotheses | *Sig | |||
| (1) | h0: β1 = 0 | 0.096 | |||
| (2) | h0: β1 = 0 | 0.099 | |||
| (3) | h0: β1 = 0 | 0.058 | |||
| (4) | h0: β1 = 0 | 0.046 | |||
| (5) | h0: β1 = 0 | 0.800 | |||
| (6) | h0: β1 = 0 | 0.571 | |||
Notes:
We reject the null hypothesis of β = 0 at p < 0.01 (
); p < 0.05 (
); p < 0.1 (
). The probit [π(x)] is a function or link that transforms π(x) into a Z statistic, α is the constant, β1 and β2 are the coefficients of interest, Γ is the vector of control variables and γ is the vector of coefficients of the control variables
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.