Browsing by Author "Zambrana, Rafael"
Now showing 1 - 1 of 1
Results Per Page
Sort Options
Publication Capital Commitment and Performance: The Role of Mutual Fund Charges(Cambridge University Press, 2022-11-02) Gómez, Juan Pedro; Porras Prado, Melissa; Zambrana, Rafael; Fundação para a Ciência e a Tecnologia; Social Sciences DataLab; POR Lisboa and POR Norte Social Sciences DataLab; Ministerio de Economía y Competitividad; Agencia Estatal de Investigación; European Regional Development Fund; Banco de España; Novo Banco; https://ror.org/02jjdwm75We study how the scarcity of committed capital affects the equilibrium distribution of net alphas in the asset management industry. We propose a model of active portfolio management with different sales fee structures where committed capital is in short supply. In the model, a portfolio’s excess return is not fully appropriated by the money manager but shared with long-term investors. Empirically, we show that capital commitment allows funds to hold shares longer and take advantage of slow-moving arbitrage opportunities. Consistent with the model, funds with more committed capital generate higher value added, which, net of fees, accrues to long-term investors.