Strategic interactions and portfolio choice in money management : theory and evidence
研究了在同行基准表现不佳惩罚下，策略型基金经理的投资组合选择，发现惩罚引发羊群行为，且更严格的惩罚导致更多跟风交易，尤其对表现不佳的经理更明显。
The author study portfolio choice of strategic fund managers in the presence of a peer-based under performance penalty. While the penalty generates herding behavior, correlated trading among managers is exacerbated when a strategic setting is considered. The equilibrium portfolios are driven by the least restricted manager, who may vary according to the realization of returns. The author compare model predictions to evidence from the Colombian pension fund management industry, where six asset managers are incharge of portfolio allocation for the mandatory contributions of the working population. These managers are subject to a peer based under performance penalty, known as the Minimum Return Guarantee (MRG). The author study trading behavior by managers before and after a change in the strictness of the MRG in June 2007. The evidence suggests that a tighter MRG results in more trading in the direction of peers, a behavior that is more pronounced for under performing managers. Is how that these findings areconsistent with the qualitative and quantitative predictions of the theoretical model.