How Does Illiquidity Affect Delegated Portfolio Choice?
研究发现，年中业绩不佳的基金经理会在年底增加投资组合风险，而股票流动性提高会加剧这种风险转移行为，损害基金投资者利益。论文通过理论模型和实证分析（以十进制报价作为流动性外生冲击）验证了这一观点。
In response to how they are compensated, mutual fund managers who are underperforming by mid-year are likely to increase the risk of their portfolios toward the year-end. We argue that an increase in the liquidity of the stocks that managers use to shift risk can lead to an increase in the size of their risky bets. This in turn hurts fund investors by increasing the costs of misaligned incentives associated with delegated portfolio management. We provide both theoretical and empirical results that are consistent with this argument. We use decimalization as an exogenous shock to liquidity to identify causal effects.