MARC 主機 00000nam  2200337   4500 
001    AAI3487662 
005    20121015105354.5 
008    121015s2011    ||||||||||||||||| ||eng d 
020    9781267071736 
035    (UMI)AAI3487662 
040    UMI|cUMI 
100 1  Moreira, Alan 
245 10 Career concerns versus entrenchment in money management: 
       quantifying limits to arbitrage using lockup maturities 
300    128 p 
500    Source: Dissertation Abstracts International, Volume: 73-
       04, Section: A, page:  
500    Adviser: Douglas Diamond 
502    Thesis (Ph.D.)--The University of Chicago, 2011 
520    I present a dynamic model of delegated asset management in
       which investors' learning distorts  managers' incentives 
       to time bets in low-probability catastrophe events. 
       Uncertainty  about manager skill creates a wedge between 
       the portfolio that maximizes fund expected return  and the
       portfolio that minimizes fund liquidation risk. In 
       equilibrium, managers expose  their portfolios to too much
       tail risk. Rational learning about manager skill and 
       manager  equilibrium portfolio choice make this distortion
       persistent . In Chapter 2, I develop the model and use a 
       calibration exercise to highlight the main properties of 
       the model. In Chapter 3, I estimate the model using the 
       Simulated Method of Moments of Duffee and Singleton  
       [1993]. The estimation results teach us how costly are 
       contracts that entrench bad managers, and the magnitude of
       limits to arbitrage distortions that good managers face. 
       Under the  steady state distribution of manager reputation,
       a skilled managers forgoes on average 86  basis points a 
       year of a total average skill of 744 basis points in the 
       population. The average  entrant in the hedge fund 
       business faces substantially larger limits to arbitrage. 
       The average  new manager forgoes 235 basis points a year 
       if she choose the fund lockup maturity optimally  and 261 
       basis points if she is forced to manage a fund with a 
       monthly redemption frequency.  The model identifies limits
       to arbitrage distortions from contract maturity choices 
       and the  joint time-series behavior of liquidations, 
       returns, and compensation observed in the hedge  fund 
590    School code: 0330 
650  4 Economics, Finance 
690    0508 
710 2  The University of Chicago.|bBusiness and Economics 
773 0  |tDissertation Abstracts International|g73-04A 
856 40 |u