Submitted by: Submitted by ffrbel
Views: 574
Words: 60800
Pages: 244
Category: Business and Industry
Date Submitted: 06/02/2012 01:29 PM
The Delegated Portfolio Management Problem: Reputation and Herding por Félix Fernando Villatoro Godoy
Licenciado en Economía y Negocios, Escuela Superior de Economía y Negocios, 2001 Magíster en Economía, Ponti…cia Universidad Católica de Chile, 2003
Esta tesis se presenta como requerimiento parcial para optar al grado de Doctor en Economía
Instituto de Economía PONTIFICIA UNIVERSIDAD CATÓLICA DE CHILE
Comité: Felipe Zurita (profesor guía) Jaime Casassus Rodirgo Harrison Bernardita Vial 2008
La tesis de Félix Fernando Villatoro Godoy fue aprobada:
Felipe Zurita (profesor guía)
Jaime Casassus
Rodirgo Harrison
Bernardita Vial
Ponti…cia Universidad Católica de Chile
30 de diciembre de 2008
Abstract
The Delegated Portfolio Management Problem: Reputation and Herding by Félix Fernando Villatoro Godoy Doctor en Economía, Ponti…cia Universidad Católica de Chile
Felipe Zurita (Chair)
This work studies the e¤ects of the possibility of building a reputation in a delegated portfolio management context where …nancial intermediaries may herd. Reputation is modelled as investors’ Bayesian beliefs regarding the ability of intermediaries given their past performance. Unlike previous works, we characterize reputational equilibria in which intermediaries’ decision to invest in reputation depends on their current reputation. We …nd that intermediaries with good reputation are prone to invest in information, whereas those with poor reputation herd. Also, the presence of implicit incentives provided by reputation allows this market to operate using simple remuneration schemes (i.e. a percentage of assets under management). The empirical predictions of the model are discussed and are found to be broadly consistent with previous evidence.
Felipe Zurita Chair
Resumen
The Delegated Portfolio Management Problem: Reputation and Herding por Félix Fernando Villatoro Godoy Doctor en Economía, Ponti…cia Universidad Católica de Chile...