| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP8578
|
| DP8578 The delegated Lucas tree |
| Ron Kaniel; Péter Kondor
|
| 发表日期 | 2011-09-01
|
| 出版年 | 2011
|
| 语种 | 英语
|
| 摘要 | We analyze the effects of the observed increased share of delegated capital for trading strategies and equilibrium prices by introducing delegation into a standard Lucas exchange economy. In equilibrium, some investors trade on their own account, but others decide to delegate trading to professional fund managers. Flow performance incentive functions describe how much capital clients provide to funds at each date as a function of past performance. Convex flow-performance relations imply that the average fund outperforms the market in recessions and underperforms in expansions. When the share of capital that is delegated is low, all funds follow the same strategy. However, when the equilibrium share of delegated capital is high, funds with identical incentives employ heterogeneous trading strategies. A group of managers borrows to take on a levered position on the stock. Thus, fund returns are dispersed in the cross-section and the outstanding amounts of borrowing and lending increase. The relation between the share of delegated capital and the Sharpe ratio typically follows an inverse U-shape pattern. |
| 主题 | Financial Economics
|
| 关键词 | Delegation
Agency
Equilibrium
Money management
Funds
|
| URL | https://cepr.org/publications/dp8578
|
| 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/537415
|
推荐引用方式
GB/T 7714 |
Ron Kaniel,Péter Kondor. DP8578 The delegated Lucas tree. 2011.
|
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