A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization
A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization
复制标题
共同基金理论：最优基金目标和行业组织
DOI：
10.2139/ssrn.281000
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发表时间：
2001
期刊：
影响因子：
--
通讯作者：
Harry Mamaysky
中科院分区：
文献类型：
--
作者：
M. Spiegel;Harry Mamaysky
本文提出了一个模型，在这个模型中，投资者不能一直留在市场上进行交易。因此，他们有动力建立贸易公司或金融市场中介机构，在他们从事其他活动的同时接管他们的投资组合。以前的研究假设，这些公司的行为就像个人赋予的效用函数。在这里，就像在现实中一样，他们是简单地接受投资者订单的公司。从这种背景下出现了一个理论的共同基金和其他FMI的（如投资公司，银行和保险公司）的影响，他们的交易风格，以及他们对资产价格的影响。该模型为以往的实证研究结果提供了理论支持，并提供了新的实证预测，本文进行了检验。
This paper presents a model in which investors cannot remain in the market to trade at all times. As a result, they have an incentive to set up trading firms or financial market intermediaries (FMI's) to take over their portfolio while they engage in other activities. Previous research has assumed that such firms act like individuals endowed with a utility function. Here, as in reality, they are firms that simply take orders from their investors. From this setting emerges a theory of mutual funds and other FMI's (such as investment houses, banks, and insurance companies) with implications for their trading styles, as well as for their effects on asset prices. The model provides theoretical support for past empirical findings, and provides new empirical predictions which are tested in this paper.