Equilibrium Implications of Delegated Asset Management under Benchmarking
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 do not address the distinction between individual and institutional investors nor the potential implications of direct investing and delegated investing. In a model with endogenous delegation, we 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. Our empirical results support the models predictions.
Portfolio Delegation Benchmarking General Equilibrium Equity Risk Premia
Markus Leippold Philippe Rohner
University of Zurich, Swiss Banking Institute, Plattenstrasse 14, 8032 Zurich, Switzerland
国际会议
广州
英文
1-58
2009-07-07（万方平台首次上网日期，不代表论文的发表时间）