Efficiently Inefficient Markets for Assets and Asset Management
研究了投资者可直接投资或寻找资产管理者的市场，信息有成本且管理者收取内生费用。资产价格效率与资产管理市场效率相关：投资者越易找到管理者，主动管理资金越多、费用越低、价格越有效。
ABSTRACT We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more easily, more money is allocated to active management, fees are lower, and asset prices are more efficient. Informed managers outperform after fees, uninformed managers underperform, while the average manager's performance depends on the number of “noise allocators.” Small investors should remain uninformed, but large and sophisticated investors benefit from searching for informed active managers since their search cost is low relative to capital. Hence, managers with larger and more sophisticated investors are expected to outperform.