G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16296
DP16296 Is There Too Much Benchmarking in Asset Management?
Anil Kashyap; Natalia Kovrijnykh; Anna Pavlova
发表日期2021-06-25
出版年2021
语种英语
摘要We propose a model of asset management in which benchmarking arises endogenously, and analyze its unintended welfare consequences. Fund managers' portfolios are unobservable and they incur private costs in running them. Conditioning managers' compensation on a benchmark portfolio's performance partially protects them from risk, and thus boosts their incentives to invest in risky assets. In general equilibrium, these compensation contracts create an externality through their effect on asset prices. Benchmarking inflates asset prices and gives rise to crowded trades, thereby reducing the effectiveness of incentive contracts for others. Contracts chosen by fund investors diverge from socially optimal ones. A social planner, recognizing the crowding, opts for less benchmarking and less incentive provision. We also show that asset management costs are lower with socially optimal contracts, and the planner's benchmark-portfolio weights differ from the privately optimal ones. Finally, we consider an application of our model to ESG (environmental, social, and governance) investing and show that optimal incentive provision for fund managers should include ESG-tilted benchmarks.
主题Financial Economics
关键词Incentive contracts Moral hazard Relative performance Pecuniary externality Asset management Benchmark Index Welfare Esg investing
URLhttps://cepr.org/publications/dp16296
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/545261
推荐引用方式
GB/T 7714
Anil Kashyap,Natalia Kovrijnykh,Anna Pavlova. DP16296 Is There Too Much Benchmarking in Asset Management?. 2021.
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