We propose a tractable model of asset management in which benchmarking arises
endogenously, and analyze its welfare consequences. Fund managers' portfolios are not …

We identify a novel economic mechanism through which passive ownership positively
affects informational efficiency in the cross-section of firms. Passive investors' inelastic …

We study theoretically how the proliferation of new data (“data abundance”) affects the
allocation of capital between quantitative and nonquantitative asset managers (“data …

This paper studies how falling fees for delegated investments affect price efficiency in a
theoretical framework, in which the investors' allocations, management fees, and asset …

We investigate the state-varying risk taking behavior of actively managed mutual funds by
considering their transaction costs in trading securities. Our tournament model equilibrium …

We develop a data-sales model to study the implications of alternative data for financial
markets. Investors acquire skills to process the purchased raw data, and developing such …

We show that managerial learning from stock prices can lead to feedback loop vulnerability:
corrective actions based on perceived negative market signals reduce the sensitivity of asset …

Delegation contracts with conventional linear benchmarking cannot motivate institutions to
acquire information, which deteriorates price informativeness and increases return volatility …

Conventional linear benchmarked contracts tend to cause excessive pegging to the
benchmark and thus price distortion of stocks in the benchmark. This paper studies the …

Previous research has debated about whether institutionalization could improve market
efficiency. We develop a theoretical model under anticipated utility combined with probability …