Abstract

http://ssrn.com/abstract=312405
 
 

Citations



 


 



Delegated Portfolio Management and Rational Prolonged Mispricing


Eitan Goldman


Indiana University - Kelley School of Business - Department of Finance

Steve L. Slezak


University of Cincinnati - Department of Finance - Real Estate


Journal of Finance, Vol. 58, pp. 283-311, 2003

Abstract:     
This paper examines how information becomes reflected in prices when investment decisions are delegated to fund managers whose tenure may be shorter than the time it takes for their private information to become public. We consider a sequence of managers, where each subsequent manager inherits the portfolio of their predecessor. We show that the inherited portfolio distorts the subsequent manager's incentive to trade on long-term information. This allows erroneous past information to persist, causing mispricing similar to a bubble. We investigate the magnitude of the mispricing. In addition, we examine endogenous information quality. In some cases, information quality increases when the manager's expected tenure decreases.

Keywords: mispricing, fund managers, bubbles

JEL Classification: D8, G14

Accepted Paper Series





Not Available For Download

Date posted: July 15, 2002  

Suggested Citation

Goldman, Eitan and Slezak, Steve L., Delegated Portfolio Management and Rational Prolonged Mispricing. Journal of Finance, Vol. 58, pp. 283-311, 2003. Available at SSRN: http://ssrn.com/abstract=312405

Contact Information

Eitan Goldman (Contact Author)
Indiana University - Kelley School of Business - Department of Finance ( email )
1309 E. 10th St.
Bloomington, IN 47405
United States
812-856-0749 (Phone)

Steve L. Slezak
University of Cincinnati - Department of Finance - Real Estate ( email )
College of Business Administration
Cincinnati, OH 45221
United States
Feedback to SSRN


Paper statistics
Abstract Views: 645

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.265 seconds