Why constrain your mutual fund manager?

• 成果类型: Article
• 署名作者: Almazan, A; Brown, KC; Carlson, M; Chapman, DA
• 署名单位: Boston College; University of British Columbia; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2003.05.007
• 发表日期: 2004
• 页码: 289-321
• 关键词: mutual funds; corporate governance; investment restrictions

摘要

We examine the form, adoption rates, and economic rationale for various mutual fund investment restrictions. A sample of U.S. domestic equity funds from 1994 to 2000 reveals systematic patterns in investment constraints, consistent with an optimal contracting equilibrium in the fund industry. Restrictions are more common when (i) boards contain a higher proportion of inside directors, (ii) the portfolio manager is more experienced, (iii) the fund is managed by a team rather than an individual, and (iv) the fund does not belong to a large organizational complex. Low- and high-constraint funds produce similar risk-adjusted returns, also consistent with an optimal contracting equilibrium. (C) 2003 Elsevier B.V. All rights reserved.