规划师
业务
微观经济学
外部性
资产(计算机安全)
财务
经济
计算机安全
计算机科学
程序设计语言
作者
Michael Sockin,Mindy Z. Xiaolan
出处
期刊:Review of Finance
[Oxford University Press]
日期:2023-03-20
卷期号:27 (6): 1931-1975
被引量:7
摘要
Abstract We examine the pecuniary externalities that arise when active fund manager compensation contracts have common components. This commonality in the compensation structure and loadings on each component across funds reduces asset price informativeness, amplifies the distortions from active managers’ benchmark-hedging demand, and lowers the price of risk in financial markets. This is because contract commonality distorts investors’ capital allocation to active management, and active managers’ information acquisition and trading decisions. From a normative perspective, contract commonality increases the rigidity of the active industry size and performance-based fee. As a result, they do not vary enough with financial market conditions compared with a Planner’s economy. Quantitatively, an increase in asset payoff uncertainty increases the size and performance-based fee twice as much in the Planner economy compared with the decentralized economy. From a positive perspective, contract commonality contributes to the inconsistency of several widely adopted measures of active manager skill.
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