作者：Feldman, David; Saxena, Konark; Xu, Jingrui
作者单位：University of New South Wales Sydney; Xiamen University; Xiamen University
摘要：We introduce a theoretical model of the active fund management industry (AFMI) in which performance and size depend on the AFMI's competitiveness (concentration). Under plausible assumptions, as AFMI's concentration decreases, so do fund managers' incentives for exerting effort in search of alpha. Consequently, managers produce lower gross alpha, and rational investors, inferring lower expected AFMI performance, allocate a smaller portion of their wealth to active funds. Empirically, we find t...
作者：Chernenko, Sergey; Sunderam, Adi
作者单位：Purdue University System; Purdue University; Harvard University; National Bureau of Economic Research; Harvard University
摘要：We develop three novel measures of the incentives of equity mutual funds to internalize the price impact of their trading. We show that mutual funds with stronger incentives to internalize their price impact accommodate inflows and outflows by adjusting their cash buffers instead of trading in portfolio securities. As a result, stocks held by these funds have lower volatility, and flows out of these funds have smaller spillover effects on other funds holding the same securities. Our results pr...
