| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28020 |
| 来源ID | Working Paper 28020 |
| Is There Too Much Benchmarking in Asset Management? | |
| Anil K Kashyap; Natalia Kovrijnykh; Jian Li; Anna Pavlova | |
| 发表日期 | 2020-11-02 |
| 出版年 | 2020 |
| 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. |
| 主题 | Microeconomics ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w28020 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585693 |
| 推荐引用方式 GB/T 7714 | Anil K Kashyap,Natalia Kovrijnykh,Jian Li,et al. Is There Too Much Benchmarking in Asset Management?. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28020.pdf（608KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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