| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20480 |
| 来源ID | Working Paper 20480 |
| Asset Management Contracts and Equilibrium Prices | |
| Andrea M. Buffa; Dimitri Vayanos; Paul Woolley | |
| 发表日期 | 2014-09-11 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We derive equilibrium asset prices when fund managers deviate from benchmark indices to exploit noise-trader induced distortions but fund investors constrain these deviations. Because constraints force managers to buy assets that they underweight when these assets appreciate, overvalued assets have high volatility, and the risk-return relationship becomes inverted. Noise traders bias prices upward because constraints make it harder for managers to underweight overvalued assets, which have high volatility, than to overweight undervalued ones. We endogenize the constraints based on investors' uncertainty about managers' skill, and show that asset-pricing implications can be significant even for moderate numbers of unskilled managers. |
| 主题 | Microeconomics ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w20480 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578152 |
| 推荐引用方式 GB/T 7714 | Andrea M. Buffa,Dimitri Vayanos,Paul Woolley. Asset Management Contracts and Equilibrium Prices. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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