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Demand Curves and the Pricing of Money Management

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  • Susan Christoffersen
  • David K. Musto

Abstract

Recent studies (e.g. Gruber (1996)) conclude that a subset of investors allocates away from funds with relatively worse prospects, and toward funds with better prospects. The implication for a given fund is that good prospects increase the density of performance-sensitive investors, and bad prospects increase the density of performance-insensitive investors. Since fees come out of performance, this has a straightforward pricing implication: investors remaining in the funds with bad prospects should be charged more, whether by the same fund or by a different fund that absorbs the investors. This dynamic is apparent from several angles in a sample of retail money-funds.

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File URL: http://fic.wharton.upenn.edu/fic/papers/99/9931.pdf
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Bibliographic Info

Paper provided by Wharton School Center for Financial Institutions, University of Pennsylvania in its series Center for Financial Institutions Working Papers with number 99-31.

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Date of creation: Aug 1999
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Handle: RePEc:wop:pennin:99-31

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