Chasing Hot Funds: The Effects of Relative Performance on Portfolio Choice
研究美国证监会对基金经理薪酬的限制如何影响其投资组合选择，发现限制导致基金经理选择比最优风险组合更冒险的资产，且投资者按业绩排名选基金时风险更大。
We study the way in which SEC restrictions on fund manager compensation affect portfolio choice when investors buy into funds whose recent performance has been good. We find that fund managers choose riskier portfolios than they would if there were no contracting restrictions and that these portfolios are riskier than the optimal risky portfolio. Further, if investors choose funds according to performance rank rather than performance relative to the average, these effects are exacerbated—fund managers choose even riskier portfolios. Thus, our analysis suggests a need to provide investors with information about risk-adjusted performance.