| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13356 |
| DP13356 The Benchmark Inclusion Subsidy | |
| Anil Kashyap; Natalia Kovrijnykh; Anna Pavlova | |
| 发表日期 | 2018-12-03 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We study the impact of evaluating the performance of asset managers relative to a benchmark portfolio on firms’ investment, merger and IPO decisions. We introduce asset managers into an otherwise standard asset pricing model and show that firms that are part of the benchmark are effectively subsidized by the asset managers. This “benchmark inclusion subsidy” arises because asset managers have incentives to hold some of the equity of firms in the benchmark regardless of the risk characteristics of these firms. Contrary to what is usually taught in corporate finance, we show that the value of an investment project is not governed solely by its own cash-flow risk. Instead, because of the benchmark inclusion subsidy, a firm inside the benchmark would accept some projects that an identical one outside the benchmark would decline. The two types of firms’ incentives to undertake mergers or spinoffs also differ and the presence of the subsidy can alter a decision to take a firm public. We show that the higher the cash-flow risk of an investment, the larger the benchmark inclusion subsidy; the subsidy is zero for safe projects. Benchmarking also leads fundamental firm-level cash-flow correlations to rise. We review a host of empirical evidence that is consistent with the implications of the model. |
| 主题 | Financial Economics |
| 关键词 | Project valuation investment Mergers Asset management Benchmark Index |
| URL | https://cepr.org/publications/dp13356 |
| 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/542167 |
| 推荐引用方式 GB/T 7714 | Anil Kashyap,Natalia Kovrijnykh,Anna Pavlova. DP13356 The Benchmark Inclusion Subsidy. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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