Information acquisition and mutual funds

• 成果类型: Article
• 署名作者: Garcia, Diego; Vanden, Joel M.
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2009.03.002
• 发表日期: 2009
• 页码: 1965-1995
• 关键词: mutual funds; information acquisition; rational expectations equilibrium; Markets for information

摘要

We study the formation of mutual funds by generalizing the standard competitive noisy rational expectations framework. In our model, informed agents set up mutual funds as a means of selling their private information to uninformed agents. We study the case of imperfect competition among fund managers, where uninformed agents invest simultaneously in multiple mutual funds. The size of the assets under management in the mutual fund industry is determined by endogenizing the agents' information acquisition decisions. Our model yields novel predictions on the informativeness of price, the optimal fees of mutual funds, and the equilibrium risk premium. In particular, we show that a sufficiently competitive mutual fund sector yields more informative prices and a lower equity risk premium. (C) 2009 Elsevier Inc. All rights reserved.