Cross-Fund Subsidization and Flow-Performance Relation
研究基金家族顾问如何通过跨基金补贴操纵业绩以最大化家族价值，并分析这种补贴如何影响市场均衡，发现补贴导致资金流对业绩的非对称敏感性。
Abstract This paper studies how fund-family advisors use cross-fund subsidization to manipulate fund performances and maximize fund-family values, and how this activity shapes market equilibrium. The trade-off between subsidization efficiency and funds’ endogenous profit-performance convexities determines the subsidization. When the effect of profit-performance convexities dominates, advisors optimally use low-value funds to subsidize high-value funds. When the effect of subsidization efficiency dominates, advisors use liquid funds to subsidize temporarily distressed funds. The subsidization induces negative asymmetric cross-fund flow-performance sensitivities: high-value (liquid) funds’ performances strongly decrease low-value (temporarily distressed) funds’ flows, whereas low-value (temporarily distressed) funds’ performances weakly reduce high-value (liquid) funds’ flows.