Asset Management Contracts and Equilibrium Prices
将资产管理视为主动与被动之间的连续体，研究代理摩擦如何限制经理人利用噪声交易者造成的价格扭曲，导致高波动性和风险收益关系倒挂，并用数据推断约束紧密度和有效套利资本。
We model asset management as a continuum between active and passive: managers can deviate from benchmark indices to exploit noise trader–induced distortions, but agency frictions constrain these deviations. Because constraints force managers to buy assets that they underweight when these assets appreciate, overvalued assets have high volatility, and the risk-return relationship becomes inverted. Distortions are more severe for overvalued assets than for undervalued ones because trading against the former entails more risk and tighter constraints. We provide empirical evidence supporting our model’s main mechanisms. Using the data, we infer the constraints’ tightness and compute a measure of effective arbitrage capital.