文献详情
How Does Illiquidity Affect Delegated Portfolio Choice?
文献类型：期刊
通讯作者：Goncalves-Pinto, L (reprint author), Chinese Univ Hong Kong, Hong Kong, Peoples R China.
期刊名称：JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
年：2019
卷：54
期：2
页码：539-585
ISSN：0022-1090
摘要：In response to how they are compensated, mutual fund managers who are underperforming by mid-year are likely to increase the risk of their portfolios toward the year-end. We argue that an increase in the liquidity of the stocks that managers use to shift risk can lead to an increase in the size of their risky bets. This in turn hurts fund investors by increasing the costs of misaligned incentives associated with delegated portfolio management. We provide both theoretical and empirical results th ...More
In response to how they are compensated, mutual fund managers who are underperforming by mid-year are likely to increase the risk of their portfolios toward the year-end. We argue that an increase in the liquidity of the stocks that managers use to shift risk can lead to an increase in the size of their risky bets. This in turn hurts fund investors by increasing the costs of misaligned incentives associated with delegated portfolio management. We provide both theoretical and empirical results that are consistent with this argument. We use decimalization as an exogenous shock to liquidity to identify causal effects. ...Hide

DOI：10.1017/S0022109018000753
百度学术：How Does Illiquidity Affect Delegated Portfolio Choice?
语言：外文
人气指数：1
浏览次数：1
基金：Singapore Ministry of Education (MOE) Academic Research Fund (AcRF) [R-146-000-243-114, R-703-000-032/201-112]; National Natural Science Foundation of China (NSFC)National Natural Science Foundation of China [1671292]; Singapore MOE AcRF [R-315-000-094-133]
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