Equilibrium Implications of Delegated Asset Management under Benchmarking
Autor: | Markus Leippold, Philippe Rohner |
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Přispěvatelé: | University of Zurich, Leippold, Markus |
Rok vydání: | 2012 |
Předmět: |
Economics and Econometrics
General equilibrium theory Financial economics media_common.quotation_subject Institutional investor 2002 Economics and Econometrics Accounting Economics Capital asset pricing model Asset management Asset (economics) Relative return media_common 1402 Accounting Delegation business.industry Benchmarking Price system Investment (macroeconomics) 10003 Department of Banking and Finance 330 Economics Investment management Investment theory 2003 Finance Business Finance |
Zdroj: | Review of Finance. 16(4):935-984 |
Popis: | Despite the enormous growth of the asset management industry during the past decades, little is known about the asset pricing implications of investment intermediaries. Standard models of investment theory neither address the distinction between individual and institutional investors nor the potential implications of direct investing and delegated investing. In a model with endogenous delegation, the authors find that delegation leads to a more informative price system and lower equity premia. In the presence of relative return objectives, stocks exhibiting high correlations with the benchmark have significantly lower returns than stocks with low correlations. The authors' empirical results support the model's predictions. Copyright 2012, Oxford University Press. |
Databáze: | OpenAIRE |
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