Why constrain your mutual fund manager
Why constrain your mutual fund manager
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DOI：
10.1016/j.jfineco.2003.05.007
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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：
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作者：
Andrés Almazán;K. Brown;Murray D. Carlson;David A. Chapman
我们考察了各种共同基金投资限制的形式、采用率和经济原理。以1994 - 2000年的美国国内股票基金为样本，揭示了投资约束的系统性模式，符合基金行业的最优契约均衡。当(i)董事会包含较高比例的内部董事，（ii）投资组合经理更有经验，（iii）基金由团队而不是个人管理，以及（iv）基金不属于大型组织综合体时，限制更常见。低约束和高约束基金产生相似的风险调整收益，也符合最优契约均衡。
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.