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01891cas a2200253 a 4500 |
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|z 9781513586878
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|a 1018-5941
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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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|a Washington, D.C. :
|b International Monetary Fund,
|c 2015.
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|a 1 online resource (39 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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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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|a Mode of access: Internet
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|a Pinheiro, Marcelo.
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|a IMF Working Papers; Working Paper ;
|v No. 2015/198
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2015/198/001.2015.issue-198-en.xml
|z IMF e-Library
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