Cross-Subsidization in Institutional Asset Management Firms
研究了美国机构资产管理公司旗下股票产品间的交叉补贴现象，发现业绩好但规模小的产品获得补贴，而规模大的产品提供补贴；应税投资者因代理问题更复杂，其资金流动对业绩更敏感，且获得更多补贴。
We study cross-subsidization among U.S. equity products managed by institutional asset management firms. We find returns-based evidence consistent with both cross-subsidization receipt by strong recent performers that are relatively small in their firms and provision by products that are relatively large in their firms. Tax-exempt investors and taxable investors do not have a clear ranking by expertise, but tax-exempt investors’ agency issues are more complex. Accordingly, taxable clients have more flow-performance nonlinearity and receive more (and provide less) cross-subsidization. Taxable investor flows appear more discerning, but only under the circumstances conducive to cross-subsidization, suggesting that “more discerning” likely means “more cross-subsidized.”Received May 11, 2015; editorial decision April 22, 2017 by Editor Andrew Karolyi.