On relative performance contracts and fund manager's incentives

European Economic Review

Volumn 43, Issue 1, 1999, Pages 135-161

  Eichberger, Jürgen ^a   Grant, Simon ^b   King, Stephen P ^b  

^a SAARLAND UNIVERSITY   (Germany)

^b AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Contracts; Fund managers; Incentives; Relative performance

Indexed keywords

FINANCIAL SERVICES; INVESTMENT;

EID: 0032984968     PISSN: 00142921     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0014-2921(97)00127-X     Document Type: Article

References (31)

1. Banerjee A. A simple model of herd behavior. The Quarterly Journal of Economics. 107:1992;797-817.
2. Berkowitz M., Kotowitz Y. Incentives and efficiency in the market for management services. A study of Canadian mutual funds Canadian Journal of Economics. 26:1993;850-866.
3. Bikhchandani S., Hirschleifer D., Welch I. A theory of fads, fashion, custom and cultural change as informational cascades. The Journal of Political Economy. 100:1992;992-1026.
4. Binmore K. Fun and Games. A Text on Game Theory:1992;Heath, Lexington, MA.
5. Brown K., Harlow W., Starks L. Of tournaments and temptations. An analysis of managerial incentives in the mutual fund industry The Journal of Finance. 51:1996;85-110.
6. Camerer, C., 1997. Progress in behavioral game theory. Journal of Economic Perspectives, forthcoming.
7. Cohen S., Starks L. Estimation risk and incentive contracts for portfolio managers. Management Science. 34:1988;1067-1079.
8. Davanzo L., Nesbitt S. Performance fees for investment management. Financial Analysts Journal. 43:1987;14-20.
9. Eichberger, J., Grant, S., King, S., 1997. Past performance is no guarantee for future returns - relative performance evaluation and fund manager incentives. Mimeo. Australian National University, Canberra.
10. Falkenstein E. Preferences for stock characteristics as revealed by mutual fund portfolio holdings. The Journal of Finance. 51:1996;111-135.
11. Goggin T., Fabozzi F., Rahman S. The investment performance of U.S. equity pension fund managers. An empirical investigation The Journal of Finance. 48:1993;1039-1055.
12. Golec J. Empirical tests of a principal-agent model of the investor-investment advisor relationship. Journal of Financial and Quantitative Analysis. 27:1992;81-95.
13. Grinblatt M., Titman S. Adverse risk incentives and the design of performance-based contracts. Management Science. 35:1989;807-822.
14. Grinblatt M., Titman S., Wermers R. Momentum investment strategies, portfolio performance, and herding. A study of mutual fund behavior The American Economic Review. 85:1995;1088-1105.
15. Grinold, R., Rudd, A., Incentive fees: Who wins? Who losses? Financial Analysts Journal 43, 27-38.
16. Grossman S., Stiglitz J. On the impossibility of informationally efficient markets. The American Economic Review. 70:1980;393-408.
17. Hart O., Holmström B. The theory of contracts. Bewley T. Advances in Economic Theory. 1987;Cambridge University Press, Cambridge, MA.
18. Holmström B. Moral hazard in teams. Bell Journal of Economics. 13:1982;324-340.
19. Khorana A. Top management turnover. An empirical investigation of mutual fund managers Journal of Financial Economics. 40:1996;403-427.
20. King S. Search with free riders. Journal of Economic Behavior and Organization. 26:1995;253-271.
21. Klumpes, P., 1991. Financial deregulation and the superannuation boom: A crisis in Australian financial services regulation? Commerce Research Papers, Australian National University.
22. Kritzman M. Incentive fees. Some problems and some solutions Financial Analysts Journal. 43:1987;21-26.
23. Lakonishok J., Shleifer A., Thaler R., Vishny R. Window dressing by pension fund managers. The American Economic Review (AEA Papers and Proceedings). 81:1991;227-231.
24. Lakonishok, J., Shleifer, A., Vishny, R., 1992. The structure and performance of the money management industry. Brookings Papers: Microeconomics, 339-379.
25. Leland H.E., Feldstein M., Glauber R.R., Mullins D.W. Jr., Wallman M.H. Symposium on public policy issues in finance. The Journal of Finance. 52:1997;1181-1198.
26. Ma C.-T., Moore J., Turnbull S. Stopping agents from cheating. Journal of Economic Theory. 46:1988;355-372.
27. Malkiel B. Returns from investing in equity mutual funds 1971 to 1991. The Journal of Finance. 50:1995;549-572.
28. Scharfstein D., Stein J. Herd behavior and investment. American Economic Review. 80:1990;665-669.
29. Starks L. Performance incentive fees. An agency theoretic approach Journal of Financial and Quantitative Analysis. 22:1987;17-32.
30. van Damme E. Stability and Perfection of Nash Equilibria. 1987;Springer, Berlin.
31. Welch I. Sequential sales, learning and cascades. The Journal of Finance. 47:1992;695-732.