Nicolae Garleanu (Haas School of Business - University of California - Berkeley), « Efficiently Inefficient Markets for Assets and Asset Management », Paul Woolley Research Initiative Seminar, IDEI, 30 mars 2015, 12h30–14h00, salle MF 323.
We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. In equilibrium, the efficiency of asset prices is linked to the efficiency of the asset management market: (1) if investors can find managers more easily then more money is allocated to active management, fees are lower, and asset prices are more efficient; (2) as search cost diminish, asset prices become efficient in the limit, even if information-collection costs remain large; (3) managers of complex assets earn larger fees and are fewer, and such assets are less efficiently priced; (4) good managers outperform after fees, bad managers underperform after fees, and the net performance of the average manager depends on the number of “noise allocators". (with Lasse Heje Pedersen)
Partenaire de recherche
Paul Woolley Research Initiative