Agency and Institutional Investment
扩展了Brennan(1993)的代理成本资产定价模型，发现代理效应对资产价格的影响太小而无法被实证检测到，并指出Gomez和Zapatero(2003)的正面结果源于样本选择。同时推导了机构投资组合构成的新含义，并证实机构投资组合会做空最小方差组合。
Abstract In this paper we summarise and extend the agency‐based model of asset pricing of Brennan (1993) to show that the implied agency effects on asset pricing are too small to be empirically detectable: empirical tests confirm this and we show that the positive findings of Gomez and Zapatero (2003) are due to their choice of sample. We also derive new empirical implications for the composition of institutional investment portfolios and empirically confirm the major result, that institutional portfolios will be short the minimum variance portfolio.