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Strategic Interactions and Portfolio Choice in Money ManagementEvidence from Colombian Pension Funds Verfasser: Morales, Alvaro Pedraza Sonstige Pers.: Morales, Alvaro Pedraza ¬[Sonstige] Ersch.-Ort, Verlag, Ersch.-Jahr: Washington, D.C, The World Bank, 2014 Umfang: 1 Online-Ressource (25 p) in die Merkliste | |
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Volltext:
hier klicken Volltext: hier klicken Verfasser: Morales, Alvaro Pedraza Sonstige Pers.: Morales, Alvaro Pedraza ¬[Sonstige] Titel: Strategic Interactions and Portfolio Choice in Money Management Titelzusatz: Evidence from Colombian Pension Funds Verantwortlich: Morales, Alvaro Pedraza Ersch.-Ort: Washington, D.C Verlag: The World Bank Ersch.-Jahr: 2014 Umfang: 1 Online-Ressource (25 p) Beziehung: Morales, Alvaro Pedraza, Strategic Interactions and Portfolio Choice in Money Management, Abstract: This paper studies the portfolio choice of strategic fund managers in the presence of a peer-based underperformance penalty. Evidence is taken from the Colombian pension fund management industry, where six asset managers are in charge of portfolio allocation for the mandatory contributions of the working population. These managers are subject to a peer-based underperformance penalty, known as the Minimum Return Guarantee. The trading behavior by the managers is studied before and after a change in the strictness of the guarantee in June 2007. The evidence suggests that a tighter minimum return guarantee results in more trading in the direction of peers, a behavior that is more pronounced for underperforming managers. These managers rebalance their portfolios by buying securities in which they are underexposed relative to their peers, as opposed to selling assets in which they are overexposed. Overall, the results suggest that incentives for managers to be close to industry benchmarks play an important role in the portfolio allocation of these funds Sprache: eng |
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