Brokerage Commissions, Perquisites, and Delegated Portfolio Management

摘要：

I use a three-agent setting to capture realistic features of the money management industry and highlight the importance of frictions in asset transactions. I model the price-setting process of profit-maximizing brokers, who may return portions of commissions to money managers as perquisites. A concave contract in payoffs corrects the distortions created by brokers, but compromises managers incentive to gather information. In equilibrium, investors balance trading costs and information acquisition by offering managers roughly linear contracts, causing managers to trade excessively. Investors are better off the less competitive the brokerage industry, even when brokers bundle research services at low personal costs.

作者: Fei Ding

作者单位: Department of Finance,School of Business and Management,The Hong Kong University of Science and Technology,Clear Water Bay,Kowloon,Hong Kong

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-52

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）