Agency and Asset Pricing
AbstractThis paper is concerned with the asset pricing implications of the substantial proportion of equity portfolios that are managed on an agency basis. Portfolio managers who act as agents are assumed to be concerned with the mean and variance of their return measured relative to a benchmark portfolio. Depending on how the benchmark portfolios are chosen, this will affect the equilibrium structure of expected returns. The empirical analysis, which assumes that the benchmark can be identified with the S&P500 portfolio, finds evidence of the pricing effects predicted by the agency model.
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Bibliographic InfoPaper provided by Anderson Graduate School of Management, UCLA in its series University of California at Los Angeles, Anderson Graduate School of Management with number qt53k014sd.
Date of creation: 01 May 1993
Date of revision:
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