G2TT
来源类型Discussion paper
规范类型论文
来源IDDP10152
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
URLhttps://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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