Research

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https://hdl.handle.net/20.500.14417/1725

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Browsing Research by Funding "Banco de España"

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    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/02jjdwm75
    We 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.
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    Expectations and the housing boom and bust. An open economy view
    (Elsevier, 2020-09) Gete, Pedro; Banco de España; CaixaBank; Ministerio de Economía y Competitividad; Agencia Estatal de Investigación; European Regional Development Fund; https://ror.org/02jjdwm75
    I show that both before and after the Great Recession, housing dynamics strongly correlate with current account dynamics, both across and within countries. In a benchmark DSGE model of housing markets, housing price-to-rent ratios are counterfactual if the transmission channel from housing to the current account is only through the consumption effects from relaxed borrowing constraints. Utilizing a model with enough reallocation of labor between construction and tradable goods resolves the problem. In this model, using survey data on housing price expectations generates dynamics of housing variables and the current account consistent with the data. However, interest rate dynamics are counterfactual.
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    Portfolio Manager Compensation in the U.S. Mutual Fund Industry
    (Wiley, 2018-12-12) Ma, LinLin; Tang, Yuehua; Gómez, Juan Pedro; Ministry of Education of Singapore; Ministerio de Economía y Competitividad; Banco de España; https://ror.org/02jjdwm75
    We study compensation contracts of individual portfolio managers using hand-collected data of over 4,500 U.S. mutual funds. Variations in the compensation structures are broadly consistent with an optimal contracting equilibrium. The likelihood of explicit performance-based incentives is positively correlated with the intensity of agency conflicts, as proxied by the advisor's clientele dispersion, its affiliations in the financial industry, and its ownership structure. Investor sophistication and the threat of dismissal in outsourced funds serve as substitutes for explicit performance-based incentives. Finally, we find little evidence of differences in future performance associated with any particular compensation arrangement.