Equilibrium prices in the presence of delegated portfolio management

Journal of Financial Economics

Volumn 101, Issue 2, 2011, Pages 264-296

  Cuoco, Domenico ^a   Kaniel, Ron ^b,c  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b UNIVERSITY OF ROCHESTER   (United States)

^c CEPR   (United Kingdom)

Author keywords

Agency; Asset pricing; Delegation; General equilibrium; Money management

Indexed keywords

EID: 79957936153     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2011.02.012     Document Type: Article

References (57)

1. Admati A.R., Pfleiderer P. Does it all add up? Benchmarks and the compensation of active portfolio managers. Journal of Business 1997, 70:323-350.
2. Allen F. Presidential address: Do financial institutions matter?. Journal of Finance 2001, 56:1165-1176.
3. Aragon G.O. Share restrictions and asset pricing: evidence from the hedge fund industry. Journal of Financial Economics 2007, 83:33-58.
4. Arora, N., Ju, N., Ou-Yang, H., 2006. A model of asset pricing under portfolio delegation and differential information. Unpublished working paper, University of North Carolina.
5. Aumann R.J. Existence of competitive equilibria in markets with a continuum of traders. Econometrica 1966, 34:1-17.
6. Aumann R.J., Perles M. A variational problem arising in economics. Journal of Mathematical Analysis and Applications 1965, 11:488-503.
7. Bank for International Settlements, 2003. Incentive structures in institutional asset management and their implications for financial markets. Report by the committee on the global financial system.
8. Basak S., Pavlova A., Shapiro A. Optimal asset allocation and risk shifting in money management. Review of Financial Studies 2007, 20:1583-1621.
9. Beneish M.D., Whaley R.E. An anatomy of the 'S&P 500 game': the effect of changing the rules. Journal of Finance 1996, 51:1909-1930.
10. Bhattacharya S., Pfleiderer P. Delegated portfolio management. Journal of Economic Theory 1985, 36:1-25.
11. Berk J.B., Green R.C. Mutual fund flows and performance in rational markets. Journal of Political Economy 2004, 112:1269-1295.
12. Brennan, M.J., 1993. Agency and asset pricing. Unpublished working paper, University of California, Los Angeles.
13. Brown K.C., Harlow W.V., Starks L.T. Of tournaments and temptations: an analysis of managerial incentives in the mutual fund industry. Journal of Finance 1996, 51:85-110.
14. Cadenillas A., Cvitanić J., Zapatero F. Optimal risk sharing with effort and project choice. Journal of Economic Theory 2007, 133:403-440.
15. Carpenter J. The optimal dynamic investment policy for a fund manager compensated with an incentive fee. Journal of Finance 2000, 55:2311-2331.
16. Chen H., Noronha G., Singal V. The price response to S&P 500 index additions and deletions: evidence of asymmetry and a new explanation. Journal of Finance 2004, 59:1901-1929.
17. Chen, H.-L., Pennacchi, G., 2005. Does prior performance affect a mutual fund's choice of risk? theory and further empirical evidence. Working paper, University of Illinois at Chicago.
18. Chevalier J., Ellison G. Risk taking by mutual funds as a response to incentives. Journal of Political Economy 1997, 105:1167-1200.
19. Cochrane J.H., Longstaff F.A., Santa-Clara P. Two trees. Journal of Business 2007, 80:323-350.
20. Coles J.L., Suay J., Woodbury D. Fund advisor compensation in closed-end funds. Journal of Finance 2000, 55:1385-1414.
21. Cornell B., Roll R. A delegated-agent asset-pricing model. Financial Analysts Journal 2005, 61:57-69.
22. Cox J.C., Huang C.-F. Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory 1989, 49:33-83.
23. Cvitanić J., Wan X., Zhang J. Optimal compensation with hidden action and lump-sum payment in a continuous-time model. Applied Mathematics and Optimization 2009, 59:99-146.
24. Das S., Sundaram R. Fee speech: signaling risk-sharing, and the impact of fee structures on investor welfare. Review of Financial Studies 2002, 15:1465-1497.
25. Del Guercio, D., Tkac, P.A., 1998. The determinants of the flow of funds of managed portfolios: mutual funds versus pension funds. Unpublished working paper, University of Oregon.
26. Del Guercio D., Tkac P.A. The determinants of the flow of funds of managed portfolios: mutual funds versus pension funds. Journal of Financial and Quantitative Analysis 2002, 37:523-557.
27. Dybvig, P., Farnsworth, H., Carpenter, J., 2006. Portfolio performance and agency. Unpublished working paper, Washington University.
28. Goetzmann W., Ingersoll J., Ross S.A. High water marks and hedge fund management contracts. Journal of Finance 2003, 58:1685-1717.
29. Gómez J.-P., Zapatero F. Asset pricing implications of benchmarking: a two-factor CAPM. The European Journal of Finance 2003, 9:343-357.
30. Grinblatt M., Titman S. Adverse risk incentives and the design of performance-based contracts. Management Science 1989, 35:807-822.
31. Harris L. S&P 500 Cash stock price volatilities. Journal of Finance 1989, 44:1155-1175.
32. Harris L., Gurel E. Price and volume effects associated with changes in the S&P 500 List: new evidence for the existence of price pressures. Journal of Finance 1986, 41:815-829.
33. Heinkel R., Stoughton N.M. The dynamics of portfolio management contracts. Review of Financial Studies 1994, 7:351-387.
34. Holstrom B., Milgrom P. Aggregation and linearity in the provision of intertemporal incentives. Econometrica 1987, 55:303-328.
35. Huang J., Wei K.D., Yan H. Participation costs and the sensitivity of fund flows to past performance. Journal of Finance 2007, 62:1273-1311.
36. Hugonnier J., Kaniel R. Mutual fund portfolio choice in the presence of dynamic flows. Mathematical Finance 2010, 20:187-227.
37. Kaniel, R., Tompaidis, S., Zhou, T., 2009. Putting your money where your mouth is: the effect of commitment and competition on mutual fund allocations. Unpublished working paper, Duke University.
38. Kapur S., Timmermann A. Relative performance evaluation contracts and asset market equilibrium. Economic Journal 2005, 115:1077-1102.
39. Kihlstrom R. Optimal contracts for security analysts and portfolio managers. Studies in Banking and Finance 1988, 5:291-325.
40. Larsen K. Optimal portfolio delegation when parties have different coefficients of risk aversion. Quantitative Finance 2005, 5:503-512.
41. Li C.W., Tiwari A. Incentive contracts in delegated portfolio management. Review of Financial Studies 2009, 22:4681-4714.
42. Liu W.-L. Motivating and compensating investment advisors. Journal of Business 2005, 78:2317-2349.
43. Lynch A., Mendenhall R. New evidence on stock price effects associated with changes in the S&P 500 index. Journal of Business 1997, 70:351-384.
44. Lynch A., Musto D. How investors interpret past fund returns. Journal of Finance 2003, 58:2033-2058.
45. Ou-Yang H. Optimal contracts in a continuous-time delegated portfolio management problem. Review of Financial Studies 2003, 16:173-208.
46. Palomino F., Prat A. Risk taking and optimal contracts for money managers. RAND Journal of Economics 2003, 34:113-137.
47. Pruitt S.W., Wei K.C.J. Institutional ownership and changes in the S&P 500. Journal of Finance 1989, 44:509-513.
48. Roll R. A mean/variance analysis of tracking error. Journal of Portfolio Management 1992, 18:13-22.
49. Ross S.A. The economic theory of agency: the principal's problem. American Economic Review 1973, 63:134-139.
50. Ross S.A. Compensation, incentives, and the duality of risk aversion and riskiness. Journal of Finance 2004, 59:207-225.
51. Shapley L.S., Shubik M. Quasi-cores in a monetary economy with non-convex preferences. Econometrica 1966, 34:805-827.
52. Shleifer A. Do demand curves for stocks slope down?. Journal of Finance 1986, 41:579-590.
53. Sirri E., Tufano P. Costly search and mutual fund flows. Journal of Finance 1998, 53:1589-1622.
54. Starks L.T. Performance incentive fees: an agency theoretic approach. Journal of Financial and Quantitative Analysis 1987, 22:17-32.
55. Stoughton N.M. Moral hazard and the portfolio management problem. Journal of Finance 1993, 48:2009-2028.
56. Stracca L. Delegated portfolio management: a survey of the theoretical literature. Journal of Economic Perspectives 2006, 20:823-848.
57. Wurgler J., Zhuravskaya E. Does arbitrage flatten demand curves for stocks?. Journal of Business 2002, 75:583-608.