Rewarding Trading Skills Without Inducing Gambling (joint with Igor Makarov)

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室

Guillaume Plantin 氏
Toulouse School of Economics and CEPR

This paper develops a model of active portfolio management in which fund managers may secretly gamble in order to manipulate their reputation and at- tract more funds. We show that such trading strategies may expose investors to severe losses and are more likely to occur when fund managers are impatient, their trading skills are scalable and generate higher pro t per unit of risk. We characterize the optimal contracts that deter this behavior. Our model can ex- plain a number of observed di erences in performance between mutual and hedge fund. In particular, it explains why persistence in returns and net risk-adjusted returns can be higher for hedge funds, and o ers a rationale for the prevalence of high-water mark contracts.

備考: Microworkshopと共催