The Review of Financial Studies, Volume 31, Issue 2, 1 February 2018

机构资产管理公司的交叉补贴

作者：Ranadeb Chaudhuri（Oakland University）

Zoran Ivkovi?（Michigan State University）

Charles Trzcinka（Indiana University）

摘要：我们研究了由机构资产管理公司管理的美国股票产品的交叉补贴。我们发现，基于回报的证据与交叉补贴得到的证据相一致，无论这些补贴是来自于相对他们公司较小但近期表现好的公司，还是相对他们公司较大的产品供应商。免税投资者和应税投资者没有明确的专业排名，但免税投资者的代理问题更为复杂。因此，应税客户现金流表现的非线性更强，获得（提供）交叉补贴更多（更少）。应纳税投资者的现金流只有在有利于交叉补贴的情况下辨识力更强，这意味着“辨识力更强”可能意味着“更多地被交叉补贴”。

Cross-Subsidization in Institutional Asset Management Firms

Ranadeb Chaudhuri（Oakland University）；Zoran Ivkovi?（Michigan State University）；Charles Trzcinka（Indiana University）

ABSTRACT

We study cross-subsidization among U.S. equity products managed by institutional asset management firms. We find returns-based evidence consistent with both cross-subsidization receipt by strong recent performers that are relatively small in their firms and provision by products that are relatively large in their firms. Tax-exempt investors and taxable investors do not have a clear ranking by expertise, but tax-exempt investors’ agency issues are more complex. Accordingly, taxable clients have more flow-performance nonlinearity and receive more (and provide less) cross-subsidization. Taxable investor flows appear more discerning, but only under the circumstances conducive to cross-subsidization, suggesting that “more discerning” likely means “more cross-subsidized.”

原文链接：https://academic.oup.com/rfs/article-abstract/31/2/638/3978093?redirectedFrom=fulltext

翻译：黄涛