Is There Too Much Benchmarking in Asset Management?

• 成果类型: Article
• 署名作者: Kashyap, Anil K.; Kovrijnykh, Natalia; Li, Jian; Pavlova, Anna
• 署名单位: National Bureau of Economic Research; University of Chicago; Center for Economic & Policy Research (CEPR); Arizona State University; Arizona State University-Tempe; Columbia University; University of London; London Business School
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20210476
• 发表日期: 2023
• 页码: 1112-1141
• 关键词: Moral hazard; performance; COMPENSATION; equilibrium; INFORMATION; CONTRACTS

摘要

We propose a tractable model of asset management in which bench -marking arises endogenously, and analyze its welfare consequences. Fund managers' portfolios are not contractible and they incur pri-vate costs in running them. Incentive contracts for fund managers create a pecuniary externality through their effect on asset prices. Benchmarking inflates asset prices and creates crowded trades. The crowding reduces the effectiveness of benchmarking in incen-tive contracts for others, which fund investors fail to account for. A social planner, recognizing the crowding, opts for contracts with less benchmarking and less incentive provision. The planner also deliv-ers lower asset management costs. (JEL D82, D86, G11, G12, G23, G41)