Moral hazard in active asset management

• 成果类型: Article
• 署名作者: Brown, David C.; Davies, Shaun William
• 署名单位: University of Arizona; University of Colorado System; University of Colorado Boulder
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.05.010
• 发表日期: 2017
• 页码: 311-325
• 关键词: mutual funds; moral hazard; active management; Passive management

摘要

We consider a model of active asset management in which mutual fund managers exert unobservable effort to earn excess returns. Investors allocate capital to actively managed funds and passively managed products. In equilibrium, investors are indifferent between investing an additional dollar with an active manager or with a passively managed product. As passively managed products become more attractive to investors, active managers' revenues froin portfolio-management services fall, reducing their effort incentives. More-severe decreasing-returns-to-scale are also associated with reduced incentives and increased moral hazard. Performance-based fees and holdings-based data are all unlikely to mitigate moral hazard. (C) 2017 Elsevier B.V. All rights reserved.