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161223 ||| eng |
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|a 9781513586878
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|a Igan, Deniz
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|a Delegated Portfolio Management, Benchmarking, and the Effects on Financial Markets
|c Deniz Igan, Marcelo Pinheiro
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2015
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| 300 |
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|a 39 pages
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| 700 |
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|a Pinheiro, Marcelo
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| 041 |
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7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
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|a IMF Working Papers
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| 028 |
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|a 10.5089/9781513586878.001
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| 856 |
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|u http://elibrary.imf.org/view/journals/001/2015/198/001.2015.issue-198-en.xml
|x Verlag
|3 Volltext
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|a 330
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| 520 |
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|a We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark-a common solution to the agency problem in delegated portfolio management. In the presence of such relativeperformance- based objectives, investors have reduced expected utility but markets are typically more informative and deeper. Furthermore, in a multiple asset/market framework we show that (i) relative performance concerns lead to an increase in the correlation between markets (financial contagion); (ii) benchmark inclusion increases price volatility; (iii) home bias emerges as a rational outcome. When information is costly, information acquisition is hindered and this attenuates the effects on informativeness and depth of the market
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