Relative Performance Evaluation Contracts and Asset Market Equilibrium
分析基金经理的绩效合约如何影响市场均衡，发现相对绩效评估对股权溢价和投资羊群效应的影响取决于参与约束是否有效，数值例子表明委托和相对绩效评估的普及可能降低股权溢价。
We analyse the equilibrium consequences of performance-based contracts for fund managers. Managerial remuneration is tied to a fund's absolute and relative performance. Investors choose whether or not to delegate their investment to better-informed fund managers; if they delegate they choose the optimal contract subject to the fund manager's participation constraint. We find that the impact of relative performance evaluation on the equilibrium equity premium and on portfolio herding critically depends on whether the participation constraint is binding. Simple numerical examples suggest that the increased importance of delegation and relative performance evaluation may lower the equity premium. Copyright 2005 Royal Economic Society.