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Agency, incentives, and self-designa...

Sensoy, Berk Andrew.

Agency, incentives, and self-designated mutual fund benchmarks.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Agency, incentives, and self-designated mutual fund benchmarks.
Author:	Sensoy, Berk Andrew.
Description:	77 p.
Notes:	Adviser: Steven N. Kaplan.
Notes:	Source: Dissertation Abstracts International, Volume: 67-05, Section: A, page: 1852.
Contained By:	Dissertation Abstracts International67-05A.
Subject:	Economics, Finance.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3219585
ISBN:	9780542711626

Agency, incentives, and self-designated mutual fund benchmarks.
Sensoy, Berk Andrew.

Agency, incentives, and self-designated mutual fund benchmarks. - 77 p.

Adviser: Steven N. Kaplan.

Thesis (Ph.D.)--The University of Chicago, 2006.

I use a new database of self-designated mutual fund benchmark indexes to explore the principal-agent relationship between fund investors and fund companies. Performance relative to the benchmark affects a fund's inflow of new investment, even controlling for other performance measures. The flow-performance relations give funds an incentive to deviate from the benchmark. Consistent with this incentive, 42% of funds deviate on size and value/growth such that their benchmarks are less representative of their portfolios than plausible alternatives. Tracking error is greater among funds with stronger incentives to deviate. In contrast with previous work on mutual fund tournaments, funds do not alter risk-taking relative to the benchmark in response to midyear benchmark-adjusted performance. This fact is consistent with plausible parametric estimates of the flow-performance relations, which suggest no incentive to do so. I relate the results to relative performance evaluation theory and discuss the implications for optimal contracting in the fund industry.

ISBN: 9780542711626Subjects--Topical Terms:

212585
Economics, Finance.

Agency, incentives, and self-designated mutual fund benchmarks.
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500 $a Source: Dissertation Abstracts International, Volume: 67-05, Section: A, page: 1852.
502 $a Thesis (Ph.D.)--The University of Chicago, 2006.
520 # $a I use a new database of self-designated mutual fund benchmark indexes to explore the principal-agent relationship between fund investors and fund companies. Performance relative to the benchmark affects a fund's inflow of new investment, even controlling for other performance measures. The flow-performance relations give funds an incentive to deviate from the benchmark. Consistent with this incentive, 42% of funds deviate on size and value/growth such that their benchmarks are less representative of their portfolios than plausible alternatives. Tracking error is greater among funds with stronger incentives to deviate. In contrast with previous work on mutual fund tournaments, funds do not alter risk-taking relative to the benchmark in response to midyear benchmark-adjusted performance. This fact is consistent with plausible parametric estimates of the flow-performance relations, which suggest no incentive to do so. I relate the results to relative performance evaluation theory and discuss the implications for optimal contracting in the fund industry.
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