| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10152 |
| DP10152 Asset Management Contracts and Equilibrium Prices | |
| Dimitri Vayanos; Paul Woolley | |
| 发表日期 | 2014-09-21 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We study the joint determination of fund managers' contracts and equilibrium asset prices. Because of agency frictions, investors make managers' fees more sensitive to performance and benchmark performance against a market index. This makes managers unwilling to deviate from the index and exacerbates price distortions. Because trading against overvaluation exposes managers to greater risk of deviating from the index than trading against undervaluation, agency frictions bias the aggregate market upwards. They can also generate a negative relationship between risk and return because they raise the volatility of overvalued assets. Socially optimal contracts provide steeper performance incentives and cause larger pricing distortions than privately optimal contracts. |
| 主题 | Financial Economics |
| 关键词 | Asset pricing Delegated portfolio management Market anomalies Optimal contracts |
| URL | https://cepr.org/publications/dp10152 |
| 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/538985 |
| 推荐引用方式 GB/T 7714 | Dimitri Vayanos,Paul Woolley. DP10152 Asset Management Contracts and Equilibrium Prices. 2014. |
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