File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1016/j.jfineco.2022.04.002
- WOS: WOS:000802496900003
Supplementary
-
Citations:
- Web of Science: 0
- Appears in Collections:
Article: Paying for Beta: Leverage Demand and Asset Management Fees
Title | Paying for Beta: Leverage Demand and Asset Management Fees |
---|---|
Authors | |
Issue Date | 2022 |
Citation | Journal of Financial Economics, 2022, v. 145 n. 1, p. 105-128 How to Cite? |
Abstract | We examine how investor demand for leverage shapes asset management fees. We show that in the sample of U.S. equity mutual funds: (1) fees increase in fund market beta precisely for beta larger than one; (2) this relation becomes stronger and high-beta funds experience larger inflows when leverage constraints tighten; and (3) low net alphas are especially common among high-beta funds. These results are consistent with a model in which asset managers compete for leverage-constrained investors with heterogeneous risk aversion. The asymmetric relation between betas and fees also extends to the HML and SMB factors. |
Persistent Identifier | http://hdl.handle.net/10722/313226 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hitzemann, S | - |
dc.contributor.author | Sokolinski, S | - |
dc.contributor.author | Tai, M | - |
dc.date.accessioned | 2022-06-06T05:47:55Z | - |
dc.date.available | 2022-06-06T05:47:55Z | - |
dc.date.issued | 2022 | - |
dc.identifier.citation | Journal of Financial Economics, 2022, v. 145 n. 1, p. 105-128 | - |
dc.identifier.uri | http://hdl.handle.net/10722/313226 | - |
dc.description.abstract | We examine how investor demand for leverage shapes asset management fees. We show that in the sample of U.S. equity mutual funds: (1) fees increase in fund market beta precisely for beta larger than one; (2) this relation becomes stronger and high-beta funds experience larger inflows when leverage constraints tighten; and (3) low net alphas are especially common among high-beta funds. These results are consistent with a model in which asset managers compete for leverage-constrained investors with heterogeneous risk aversion. The asymmetric relation between betas and fees also extends to the HML and SMB factors. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Financial Economics | - |
dc.title | Paying for Beta: Leverage Demand and Asset Management Fees | - |
dc.type | Article | - |
dc.identifier.email | Tai, M: taimzh@hku.hk | - |
dc.identifier.authority | Tai, M=rp02295 | - |
dc.identifier.doi | 10.1016/j.jfineco.2022.04.002 | - |
dc.identifier.hkuros | 333286 | - |
dc.identifier.volume | 145 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 105 | - |
dc.identifier.epage | 128 | - |
dc.identifier.isi | WOS:000802496900003 | - |