Rewarding Trading Skills without Inducing Gambling
研究了基金经理可能放弃高收益策略、转而进行负收益交易以操纵投资者对其技能看法的问题，并提出长期合约来遏制这种行为。
ABSTRACT This paper develops a model of active asset management in which fund managers may forgo alpha‐generating strategies, preferring instead to make negative‐alpha trades that enable them to temporarily manipulate investors' perceptions of their skills. We show that such trades are optimally generated by taking on hidden tail risk, and are more likely to occur when fund managers are impatient and when their trading skills are scalable, and generate a high profit per unit of risk. We propose long‐term contracts that deter this behavior by dynamically adjusting the dates on which the manager is compensated in response to her cumulative performance.