Do Portfolio Manager Contracts Contract Portfolio Management?
Do Portfolio Manager Contracts Contract Portfolio Management?
复制标题
DOI：
10.2139/ssrn.2844962
复制
发表时间：
2018-12
期刊：
影响因子：
--
通讯作者：
Jung Hoon Lee;Charles Trzcinka;Shyam Venkatesan
中科院分区：
文献类型：
--
作者：
Jung Hoon Lee;Charles Trzcinka;Shyam Venkatesan
大多数共同基金经理都有基于业绩的合同。我们的理论预测，具有不对称合同和年中业绩接近其公布的基准的共同基金经理在下半年增加了投资组合风险。正如我们的理论所预测的那样，业绩偏离基准只会降低具有业绩合同的经理的风险转移。对基准的偏离主导了来自流量-绩效关系的激励，这表明风险转移更多地受到管理合同的激励，而不是通过锦标赛来捕获流量。
Most mutual fund managers have performance‐based contracts. Our theory predicts that mutual fund managers with asymmetric contracts and mid‐year performance close to their announced benchmark increase their portfolio risk in the second part of the year. As predicted by our theory, performance deviation from the benchmark decreases risk‐shifting only for managers with performance contracts. Deviation from the benchmark dominates incentives from the flow‐performance relation, suggesting that risk‐shifting is motivated more by management contracts than by a tournament to capture flows.