Why constrain your mutual fund manager
Why constrain your mutual fund manager
复制标题
DOI:
10.1016/j.jfineco.2003.05.007
复制
发表时间:
2004-08
影响因子:
8.9
通讯作者:
Andrés Almazán;K. Brown;Murray D. Carlson;David A. Chapman
中科院分区:
文献类型:
--
作者:
Andrés Almazán;K. Brown;Murray D. Carlson;David A. Chapman
We examine the form, adoption rates, and economic rationale for various mutual fund investment restrictions. A sample of U.S. domestic equity funds from 1994 to 2000 reveals systematic patterns in investment constraints, consistent with an optimal contracting equilibrium in the fund industry. Restrictions are more common when (i) boards contain a higher proportion of inside directors, (ii) the portfolio manager is more experienced, (iii) the fund is managed by a team rather than an individual, and (iv) the fund does not belong to a large organizational complex. Low- and high-constraint funds produce similar risk-adjusted returns, also consistent with an optimal contracting equilibrium.