Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows
研究了强制基金经理将个人财富投入所管基金如何影响基金风险承担，发现高能力经理的基金不一定有更高预期收益但波动更低，且能力变化时限制个人账户会提高预期收益和波动。
We present a model with dynamic investment flows, where fund managers have the ability to generate excess returns, and study how forcing them to commit part or all of their personal wealth to the fund they manage affects fund risk taking. We contrast the behavior of a manager who may invest her personal wealth in a private account to a manager who is either forced to commit her wealth to the fund she manages or not allowed to hold risky assets held by the fund privately. We show that a fund managed by a manager with higher ability does not necessarily achieve higher expected returns but achieves lower idiosyncratic volatility. For a manager with constant ability, restrictions placed on her personal account do not influence her choices in the fund, while for a manager whose ability varies stochastically, they result in higher expected returns and idiosyncratic volatilities. Fund strategies can be nonmonotone both in the manager’s commitment level and the ratio of manager to investor wealth. Our results are robust to incomplete information and to competing managers with correlated ability. The internet appendix is available at https://doi.org/10.1287/mnsc.2017.2946 . This paper was accepted by Neng Wang, finance.