| Description |
1 online resource (36 pages) |
| Series |
IMF working paper, 2227-8885 ; WP/04/199 |
|
IMF working paper ; WP/04/199.
|
| Contents |
""Contents""; ""I. INTRODUCTION""; ""II. A REVIEW OF THE LITERATURE""; ""III. THE MODEL""; ""A. The Investment Horizon""; ""B. The Benchmark Index""; ""C. Local Investors as the Source of Uncertainty""; ""D. Dedicated Fund Manager�s Compensation Structure""; ""E. Global Opportunistic Managers""; ""IV. THE EQUILIBRIUM""; ""A. Dedicated (Positive Cash Holdings) and Opportunistic Managers""; ""B. Dedicated Manager (Zero Cash Holdings) and Opportunistic Manager""; ""V. CONCLUSION""; ""APPENDIX: PROOFS OF PROPOSITIONS"" |
| Summary |
This paper proposes a framework for comovements of asset prices with seemingly unrelated fundamentals, as an outcome of optimal portfolio strategies by fund managers. In emerging markets, dedicated managers outperforming a benchmark index and global managers maximizing absolute returns lead to systematic interactions between asset prices, without asymmetric information. The model determines optimal portfolio weights, the incidence of relative value strategies, and the systematic deviation of prices from fundamentals with limits to arbitraging this differential. Managerial compensation contracts, optimal at the firm level, may lead to inefficiencies at the macroeconomic level. Conditions are identified when shocks in one emerging market affect others |
| Bibliography |
Includes bibliographical references (page 33) |
| Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
|
digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL |
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Print version record |
| Subject |
Financial crises
|
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Portfolio management.
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Contagion (Social psychology)
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Index mutual funds.
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Investment advisors -- Attitudes
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Globalization -- Economic aspects
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globalism.
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Contagion (Social psychology)
|
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Financial crises
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Globalization -- Economic aspects
|
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Index mutual funds
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Portfolio management
|
| Form |
Electronic book
|
| Author |
Lall, Subir, author
|
|
International Monetary Fund. Policy Development and Review Department, issuing body
|
| ISBN |
1282051148 |
|
9781282051140 |
|
9781451905502 |
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1451905505 |
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9781451860146 |
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1451860145 |
|
