Strategic Interactions and Portfolio Choice in Money Management: Theory and Evidence
研究了同行业绩惩罚下战略基金经理的投资组合选择，发现惩罚引发羊群行为，且战略互动加剧了交易相关性；哥伦比亚养老金管理行业的证据表明，更严格的惩罚导致更多跟风交易，尤其对业绩差的经理更明显。
I study portfolio choice of strategic fund managers in the presence of a peer‐based underperformance penalty. While the penalty generates herding behavior, correlated trading among managers is exacerbated when a strategic setting is considered. The equilibrium portfolios are driven by the least restricted manager, who may vary according to the realization of returns. I compare model predictions to evidence from the Colombian pension fund management industry, where six asset managers are in charge of portfolio allocation for the mandatory contributions of the working population. These managers are subject to a peer‐based underperformance penalty, which is known as the minimum return guarantee (MRG). I study trading behavior by managers before and after a change in the strictness of the MRG in June 2007. The evidence suggests that a tighter MRG results in more trading in the direction of peers, a behavior that is more pronounced for underperforming managers. I show that these findings are consistent with the qualitative and quantitative predictions of the theoretical model.