Delegated portfolio management, optimal fee contracts, and asset prices

• 成果类型: Article
• 署名作者: Sato, Yuki
• 署名单位: University of Lausanne; Swiss Finance Institute (SFI)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2016.05.002
• 发表日期: 2016
• 页码: 360-389
• 关键词: Portfolio delegation; Optimal fee; asset prices; Price volatility; Fund size; Fund return

摘要

This paper proposes a model of asset-market equilibrium with portfolio delegation and optimal fee contracts. Fund managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through fee contracts. In equilibrium, their investment decisions, fee schedules, and stock price feed back into one another. The model predicts that (1) stock market's expected return and volatility increase as more investor capital is intermediated by funds, (2) fund's expense ratio is stable despite volatile market, (3) aggregate fund flow is positively (inversely) related to subsequent (past) market return, and (4) funds provide investors with a volatility hedge by adjusting market exposure counter cyclically. (C) 2016 Elsevier Inc. All rights reserved.