Delegated portfolio management and rational prolonged mispricing

• 成果类型: Article
• 署名作者: Goldman, E; Slezak, SL
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University System of Ohio; University of Cincinnati
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00525
• 发表日期: 2003
• 页码: 283-311
• 关键词: investment strategies; bubbles; manipulation; RISK; INFORMATION; tournaments; performance; equilibrium; speculation; incentives

摘要

This paper examines how information becomes reflected in prices when investment decisions are delegated to fund managers whose tenure may be shorter than the time it takes for their private information to become public. We consider a sequence of managers, where each subsequent manager inherits the portfolio of their predecessor. We show that the inherited portfolio distorts the subsequent manager's incentive to trade on long-term information. This allows erroneous past information to persist, causing mispricing similar to a bubble. We investigate the magnitude of the mispricing. In addition, we examine endogenous information quality. In some cases, information quality increases when the manager's expected tenure decreases.