| Autor: |
J. J. Arias, Leng Ling |
| Rok vydání: |
2013 |
| Předmět: |
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| Zdroj: |
The Quarterly Review of Economics and Finance. 53:440-449 |
| ISSN: |
1062-9769 |
| DOI: |
10.1016/j.qref.2013.05.003 |
| Popis: |
We use a sequential game to analyze an agency problem in the mutual fund industry where a representative fund manager considers window-dressing his portfolio holdings for the purpose of attracting fund flows from a representative investor. The manager is motivated to window-dress to improve the investor's perception of managerial skill which may positively affect fund flows in the next period. However, the investor may suspect window-dressing and thus downgrade perceived managerial skill. The model supports a Bayesian Nash equilibrium where the manager window-dresses only when receiving a low return in the first period and the investor withdraws funds only when observing low returns in both periods. Consequently, we show that window-dressing is a rational behavior even when fund outflows may result. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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