Asset Management Contracts and Equilibrium Prices

• 成果类型: Article
• 署名作者: Buffa, Andrea M.; Vayanos, Dimitri; Woolley, Paul
• 署名单位: University of Colorado System; University of Colorado Boulder; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/720515
• 发表日期: 2022
• 页码: 3146-3201
• 关键词: PRESIDENTIAL-ADDRESS; TRACKING-ERROR; MARKET; performance; volatility; DELEGATION; IMPACT; RISK

摘要

We model asset management as a continuum between active and passive: managers can deviate from benchmark indices to exploit noise trader-induced distortions, but agency frictions constrain these deviations. Because constraints force managers to buy assets that they underweight when these assets appreciate, overvalued assets have high volatility, and the risk-return relationship becomes inverted. Distortions are more severe for overvalued assets than for undervalued ones because trading against the former entails more risk and tighter constraints. We provide empirical evidence supporting our model's main mechanisms. Using the data, we infer the constraints' tightness and compute a measure of effective arbitrage capital.