کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9550843 | 1372611 | 2005 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Herding in delegated portfolio management: When is comparative performance information desirable?
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We address the issue of investors' asset allocation decisions when portfolio management is delegated to an agent. Contrary to predictions from traditional financial theory, it is shown that investors may not induce their manager to allocate funds to the asset with the highest return. Instead they may herd in their asset allocation decision and induce trade in a particular asset, because another manager is trading in it and despite the presence of a more profitable alternative. Doing so allows investors to write an efficiency-improving relative-performance contract. On the other hand, herding leads investors to design wage contracts strategically, resulting in more aggressive and thus less profitable trade in equilibrium. We show that herding occurs, when the cost of information is high, information precision is low and when managers are sufficiently risk averse. Moreover, when investors can decide whether or not to disclose information about their manager's performance, they will not do so.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Economic Review - Volume 49, Issue 3, April 2005, Pages 599-626
Journal: European Economic Review - Volume 49, Issue 3, April 2005, Pages 599-626
نویسندگان
Alexander Gümbel,