Market Discipline and Internal Governance in the Mutual Fund Industry
构建了一个连续时间模型，分析投资组合经理被管理公司雇佣后，投资者和公司如何根据基金回报更新对经理能力的信念，并做出资本流动或解雇决策。模型解释了经理任期与基金规模的正相关、换将前后的风险变化等实证现象，并预测解雇阈值随任期上升，以及不同任期经理被替换时的资本流动差异。
We develop a continuous-time model in which a portfolio manager is hired by a management company. On the basis of observed portfolio returns, all agents update their beliefs about the manager's skills. In response, investors can move capital into or out of the mutual fund, and the management company can fire the manager. Introducing firing rationalizes several empirically documented findings, such as the positive relation between manager tenure and fund size or the increase of portfolio risk before a manager replacement and the following risk decrease. The analysis predicts that the critical performance threshold that triggers firing increases significantly over a manager's tenure and that management replacements are accompanied by capital inflows when a young manager is replaced but may be accompanied by capital outflows when a manager with a long tenure is fired. Our model yields much lower valuation levels for management companies than simple applications of discounted cash flow (DCF) methods and is thus more consistent with empirical observations. , Oxford University Press.