Transparency and Talent Allocation in Money Management

• 成果类型: Article
• 署名作者: Gervais, Simon; Strobl, Gunter
• 署名单位: Duke University; University of Vienna
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz116
• 发表日期: 2020
• 页码: 3889
• 关键词: HEDGE FUNDS; persistence; disclosure; RISK; performance; governance; investors; scale; skill

摘要

We construct and analyze the equilibrium of a model of delegated portfolio management in which money managers signal their investment skills via fund transparency. To lower the costs of transparency, high-skill managers rely on their performance to separate from low-skill managers over time. In contrast, medium-skill managers rely on transparency to separate, especially when it is difficult for investors to tell them apart through performance alone. Low-skill managers mimic high-skill managers in opaque funds, hoping to replicate their performance and compensation. The model yields several novel empirical predictions that contrast transparent and opaque funds.