期刊名称：Birkbeck Working Papers in Economics and Finance / School of Economics, Mathematics and Statistics, Birkbeck College
印刷版ISSN：1745-8587
出版年度：2005
卷号：2005
出版社：London University
摘要：We analyse the equilibrium consequences of performance-based contracts for fund managers. Managerial remuneration is tied to a fund’s absolute performance and its performance relative to rival funds. Investors choose whether or not to delegate their investment to better-informed fund managers; if they delegate they choose the parameters of the optimal contract subject to the fund manager’s participation constraint. We find that the impact of relative performance evaluation on the equilibrium equity premium and on portfolio herding critically depends on whether the participation constraint is binding. Simple numerical examples suggest that the increased importance of delegation and relative performance evaluation may lower the equity premium.
