Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows
Published Online:18 Apr 2018https://doi.org/10.1287/mnsc.2017.2946
References
- (1997) Does it all add up? Benchmarks and the compensation of active portfolio managers. J. Bus. 70(3):323–350.Crossref, Google Scholar
- (2000) Investing for the long run when returns are predictable. J. Finance 55(1):225–264.Crossref, Google Scholar
- (2012) Difference in interim performance and risk taking with short-sale constraints. J. Financial Econom. 103(2): 377–392.Crossref, Google Scholar
- (2013) Asset prices and institutional investors. Amer. Econom. Rev. 103(5):1728–1758.Crossref, Google Scholar
- (2007) Optimal asset allocation and risk shifting in money management. Rev. Financial Stud. 20(5):1583–1621.Crossref, Google Scholar
- (2004) Mutual fund flows and performance in rational markets. J. Political Econom. 112(6):1269–1295.Crossref, Google Scholar
- (1999) Consumption and portfolio decisions when expected returns are time varying. Quart. J. Econom. 114(2):433–495.Crossref, Google Scholar
- (2000) Does option compensation increase managerial risk appetite? J. Finance 55(5):2311–2331.Crossref, Google Scholar
- (2009) Does prior performance affect a mutual funds choice of risk? J. Financial Quant. Anal. 44(4): 745–775.Crossref, Google Scholar
- (2011) Equilibrium prices in the presence of delegated portfolio management. J. Financial Econom. 101(2):264–296.Crossref, Google Scholar
- (2011) Illiquidity, position limits, and optimal investment for mutual funds. J. Econom. Theory 146(4):1598–1630.Crossref, Google Scholar
- (2008) Market discipline and internal governance in the mutual fund industry. Rev. Financial Stud. 21(5):2307–2343.Crossref, Google Scholar
- (2006) Financial equilibrium with career concerns. Theoret. Econom. 1(1):67–93.Google Scholar
- (2008) Information aggregation in financial markets with career concerns. J. Econom. Theory 143(1):83–113.Crossref, Google Scholar
- (2014) Risk choice under high-water marks. Rev. Financial Stud. 27(7):2052–2096.Crossref, Google Scholar
- (2008) Portfolio manager ownership and mutual fund performance. Financial Management 37(3):513–534.Crossref, Google Scholar
- (1994) Report of the Advisory Group on Personal Investing, Investment Company Institute.Google Scholar
- (2000) Margin requirements, margin loans, and margin rates: Practice and principles. New England Econom. Rev. 23(September/October):19–44.Google Scholar
- (2003) High-water marks and hedge fund management. J. Finance 58(4):1685–1718.Crossref, Google Scholar
- (2012) Fund managers, career concerns, and asset price volatility. Amer. Econom. Rev. 102(5):1986–2017.Crossref, Google Scholar
- (2013) Intermediary asset pricing. Amer. Econom. Rev. 103(2):732–770.Crossref, Google Scholar
- (2010) Mutual fund portfolio choice in the presence of dynamic flows. Math. Finance 20(2):187–227.Crossref, Google Scholar
- (2013) The delegated Lucas tree. Rev. Financial Stud. 6(4):229–284.Google Scholar
- (2007) Portfolio manager ownership and fund performance. J. Financial Econom. 85(1):179–204.Crossref, Google Scholar
- (1996) Dynamic nonmyopic portfolio behavior. Rev. Financial Stud. 9(1):141–161.Crossref, Google Scholar
- (2013) The economics of hedge funds. J. Financial Econom. 110(2):300–323.Crossref, Google Scholar
- (1978) Statistics of Random Processes (Springer-Verlag, Berlin).Google Scholar
- (2015) Reputation concerns and slow-moving capital. Working paper, Yale University, New Haven, CT.Google Scholar
- (2006) Délégation de la gestion de portefeuille: Choix d’investissement et des frais de gestion dans un cadre en temps continu. PhD thesis, HEC Montreal, Montreal.Google Scholar
- (2009) High-water marks: High risk appetites? Convex compensation, long horizons, and portfolio choice. J. Finance 64(1):1–36.Crossref, Google Scholar
- (2018) Do shocks to personal wealth affect risk taking in delegated portfolios? Rev. Financial Stud. Forthcoming.Google Scholar
- (2004) Flight to quality, flight to liquidity, and the pricing of risk. Working paper, London School of Economics, London.Google Scholar
- (2013) An institutional theory of momentum and reversal. Rev. Financial Stud. 26(5):1087–1145.Crossref, Google Scholar
- (2002) Portfolio and consumption decisions under mean-reverting returns: An exact solution. J. Financial Quant. Anal. 37(1):63–91.Crossref, Google Scholar

