全球智库信息集成服务系统(G2TT): DP7458 The Distance Effect and the Regionalization of the Trade of Low-Income Countries

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来源类型	Discussion paper
规范类型	论文
来源ID	DP7458
	DP7458 The Distance Effect and the Regionalization of the Trade of Low-Income Countries
	Jaime de Melo; Céline Carrère; John Wilson
发表日期	2009-09-23
出版年	2009
语种	英语
摘要	This paper analyzes the asset pricing implications of commonly-used portfolio management contracts linking the compensation of fund managers to the excess return of the managed portfolio over a benchmark portfolio. The contract parameters, the extent of delegation and equilibrium prices are all determined endogenously within the model we consider. Symmetric ("fulcrum") performance fees distort the allocation of managed portfolios in a way that induces a significant and unambiguous positive effect on the prices of the assets included in the benchmark and a negative effect on the Sharpe ratios. Asymmetric performance fees have more complex effects on equilibrium prices and Sharpe ratios, with the signs of these effects fluctuating stochastically over time in response to variations in the funds? excess performance.
主题	Financial Economics
关键词	Delegation Equilibrium Fund Portfolio
URL	https://cepr.org/publications/dp7458
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/536309
推荐引用方式 GB/T 7714	Jaime de Melo,Céline Carrère,John Wilson. DP7458 The Distance Effect and the Regionalization of the Trade of Low-Income Countries. 2009.