Abstract

http://ssrn.com/abstract=1291872
 
 

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Reputation Concerns and Slow-Moving Capital


Steven G. Malliaris


Yale University - International Center for Finance

Hongjun Yan


Yale University - International Center for Finance

September 30, 2012

AFA 2011 Denver Meetings Paper
Yale ICF Working Paper No. 08-26

Abstract:     
This paper analyzes fund managers' reputation concerns in a dynamic equilibrium model. It shows that reputation concerns induce a preference over the skewness of strategy returns. The preference is non-monotonic in the manager's reputation level: While managers with average reputations prefer strategies with negatively skewed return distributions, those with very high or very low reputations prefer the opposite. A subtle but natural consequence of adopting negatively skewed strategies is that after poor performance, managers' reputations recover slowly, leading to the phenomenon that capital sometimes appears slow moving, leaving attractive opportunities unexploited for an extended period of time.

Number of Pages in PDF File: 32

Keywords: Reputation, Slow-moving capital, Career concern

JEL Classification: G11, G23

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Date posted: October 30, 2008 ; Last revised: October 1, 2012

Suggested Citation

Malliaris, Steven G. and Yan, Hongjun, Reputation Concerns and Slow-Moving Capital (September 30, 2012). AFA 2011 Denver Meetings Paper; Yale ICF Working Paper No. 08-26. Available at SSRN: http://ssrn.com/abstract=1291872 or http://dx.doi.org/10.2139/ssrn.1291872

Contact Information

Steven G. Malliaris
Yale University - International Center for Finance ( email )
Box 208200
New Haven, CT 06520
United States
HOME PAGE: http://sites.google.com/site/stevenmalliaris/

Hongjun Yan (Contact Author)
Yale University - International Center for Finance ( email )
Box 208200
New Haven, CT 06520
United States
HOME PAGE: http://faculty.som.yale.edu/hongjunyan/

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