Paying for beta: Leverage demand and asset management fees *

• 成果类型: Article
• 署名作者: Hitzemann, Steffen; Sokolinski, Stanislav; Tai, Mingzhu
• 署名单位: Rutgers University System; Rutgers University New Brunswick; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.04.002
• 发表日期: 2022
• 页码: 105-128
• 关键词: Leverage; financial intermediation; Mutual funds

摘要

We examine how investor demand for leverage shapes asset management fees. We show that in the sample of U.S. equity mutual funds: (1) fees increase in fund market beta pre-cisely for beta larger than one; (2) this relation becomes stronger and high-beta funds experience larger inflows when leverage constraints tighten; and (3) low net alphas are especially common among high-beta funds. These results are consistent with a model in which asset managers compete for leverage-constrained investors with heterogeneous risk aversion. The asymmetric relation between betas and fees also extends to the HML and SMB factors.(c) 2022 Elsevier B.V. All rights reserved.