Liquidity, investment ability, and mutual fund structure

• 成果类型: Article
• 署名作者: Nanda, V; Narayanan, MP; Warther, VA
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(00)00063-5
• 发表日期: 2000
• 页码: 417-443
• 关键词: mutual funds; liquidity; loads; FUND PERFORMANCE; fund returns

摘要

We develop a model of the mutual fund industry in which the management fees and loads charged by actively managed open-end funds and average fund returns are determined endogenously in a competitive market setting. It is shown that heterogeneity in managerial skills at investing and minimizing costs, and the existence of investor clienteles with differing liquidity and marketing needs, gives rise to a variety of open-end fund structures that differ in the average return delivered to investors. Managers choose a fund's structure to maximize the rents they capture from their ability, taking into account the effect on investor flows. In equilibrium, funds that constrain liquidity withdrawals may have to charge lower fees and share some profits in the form of higher investor returns, when there is relative scarcity of investors with low liquidity needs. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: C23; L14; L22.