| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP5588
|
| DP5588 On-Net and Off-Net Pricing on Asymmetric Telecommunications Networks |
| Steffen Hoernig
|
| 发表日期 | 2006-03-27
|
| 出版年 | 2006
|
| 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 the ensuing convexities in the manager's objective give rise to a finite risk-shifting range over which she gambles to finish ahead of her benchmark. Such gambling entails either an increase or a decrease in the volatility of the manager's portfolio, depending on her risk tolerance. In the latter case, the manager reduces her holdings of the risky asset despite its positive risk premium. Our empirical analysis lends support to the novel predictions of the model. 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 demonstrated to be economically significant. |
| 主题 | Financial Economics
|
| 关键词 | Fund flows
Implicit incentives
Risk taking
Relative performance
Risk management
Portfolio choice
|
| URL | https://cepr.org/publications/dp5588
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534442
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推荐引用方式
GB/T 7714 |
Steffen Hoernig. DP5588 On-Net and Off-Net Pricing on Asymmetric Telecommunications Networks. 2006.
|
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