Efficiently Inefficient Markets for Assets and Asset Management

• 成果类型: Article
• 署名作者: Garleanu, Nicolae; Pedersen, Lasse Heje
• 署名单位: University of California System; University of California Berkeley; National Bureau of Economic Research; New York University; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12696
• 发表日期: 2018
• 页码: 1663-1712
• 关键词: MUTUAL FUND PERFORMANCE; information acquisition; Hedge funds; skill; COSTS; aggregation; persistence; COMPETITION; search; LIMITS

摘要

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more easily, more money is allocated to active management, fees are lower, and asset prices are more efficient. Informed managers outperform after fees, uninformed managers underperform, while the average manager's performance depends on the number of noise allocators. Small investors should remain uninformed, but large and sophisticated investors benefit from searching for informed active managers since their search cost is low relative to capital. Hence, managers with larger and more sophisticated investors are expected to outperform.