Performance‐Based Fee Contract and Risk‐Taking Strategy in Asset Management Tournament
Performance‐Based Fee Contract and Risk‐Taking Strategy in Asset Management Tournament
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DOI:
10.1111/boer.12185
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发表时间:
2019-07
期刊:
影响因子:
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通讯作者:
Jiliang Sheng;Xiaoting Wang;Jun Yang;Miao Li
中科院分区:
文献类型:
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作者:
Jiliang Sheng;Xiaoting Wang;Jun Yang;Miao Li
This paper investigates how performance‐based fee (PBF) contracts affect strategic risk‐taking behaviours of fund managers in an asset management tournament. In the perfect equilibrium, managers with better mid‐year performance will hold the risky asset with a higher probability in the remaining of the year, compared to managers with poorer mid‐year performance. If the volume of the cash flow into the winner fund is contingent on its level of success, the winning fund will take a more aggressive approach. When the PBF contract pays more heed to relative performance against the benchmark, managers are more likely to adopt aggressive strategies.