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Capital Commitment and Performance: The Role of Mutual Fund Charges

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dc.contributor.authorGómez, Juan Pedro
dc.contributor.authorPorras Prado, Melissa
dc.contributor.authorZambrana, Rafael
dc.contributor.funderFundação para a Ciência e a Tecnologia
dc.contributor.funderSocial Sciences DataLab
dc.contributor.funderPOR Lisboa and POR Norte Social Sciences DataLab
dc.contributor.funderMinisterio de Economía y Competitividad
dc.contributor.funderAgencia Estatal de Investigación
dc.contributor.funderEuropean Regional Development Fund
dc.contributor.funderBanco de España
dc.contributor.funderNovo Banco
dc.contributor.rorhttps://ror.org/02jjdwm75
dc.date.accessioned2024-10-22T17:22:28Z
dc.date.available2024-10-22T17:22:28Z
dc.date.issued2022-11-02
dc.description.abstractWe 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.
dc.description.peerreviewedyes
dc.description.statusPublished
dc.formatapplication/pdf
dc.identifier.citationGómez, J. P., Prado, M. P., & Zambrana, R. (2024). Capital commitment and performance: The role of mutual fund charges. Journal of Financial and Quantitative Analysis, 59(2), 727-758. https://doi.org/10.1017/S0022109022001235
dc.identifier.doihttps://doi.org/10.1017/S0022109022001235
dc.identifier.issn1756-6916
dc.identifier.urihttps://hdl.handle.net/20.500.14417/3292
dc.issue.number2
dc.journal.titleJournal of Financial and Quantitative Analysis
dc.language.isoen
dc.page.final758
dc.page.initial727
dc.page.total31
dc.publisherCambridge University Press
dc.relation.departmentFinance
dc.relation.entityIE University
dc.relation.projectIDUID/ECO/00124/2019
dc.relation.projectIDUIDB/00124/2020
dc.relation.projectIDUIDP/00124/2020
dc.relation.projectIDPINFRA/22209/2016
dc.relation.projectIDPGC2018-101745-A-I00
dc.relation.projectIDPID2021-125359NB-I00
dc.relation.projectIDMCIN/AEI/10.13039/501100011033/FEDER
dc.relation.projectIDPID2021-125359NB-I00
dc.relation.schoolIE Business School
dc.rightsAttribution 4,0 International
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subject.keywordCapital
dc.titleCapital Commitment and Performance: The Role of Mutual Fund Charges
dc.typeinfo:eu-repo/semantics/article
dc.version.typeinfo:eu-repo/semantics/publishedVersion
dc.volume.number59
dspace.entity.typePublication
relation.isAuthorOfPublication4c2d4d21-bbf8-4935-96bc-6475146ceea7
relation.isAuthorOfPublication.latestForDiscovery4c2d4d21-bbf8-4935-96bc-6475146ceea7
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