| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4994 |
| DP4994 A Model of Corporate Liquidity | |
| Ronald Anderson; Andrew Carverhill | |
| 发表日期 | 2005-04-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk exposure. In a dynamic portfolio choice framework, we show that as the year-end approaches, the ensuing convexities in the manager's objective induce her to closely mimic the index, relative to which her performance is evaluated, when the fund's year-to-date return is sufficiently high. As her relative performance falls behind, she chooses to deviate from the index by either increasing or decreasing the volatility of her portfolio. The maximum deviation is achieved at a critical level of underperformance. It may be optimal for the manager to reach such deviation via selling the risky asset despite its positive risk premium. Under multiple sources of risk, with both systematic and idiosyncratic risks present, we show that optimal managerial risk shifting may not necessarily involve taking on any idiosyncratic risk. Costs of misaligned incentives to investors resulting from the manager's policy are economically significant. We then demonstrate how a simple risk management practice that accounts for benchmarking can ameliorate the adverse effects of managerial incentives. |
| 主题 | Financial Economics |
| 关键词 | Fund flows Implicit incentives Risk taking Benchmarking Risk management Portfolio choice |
| URL | https://cepr.org/publications/dp4994 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533892 |
| 推荐引用方式 GB/T 7714 | Ronald Anderson,Andrew Carverhill. DP4994 A Model of Corporate Liquidity. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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