科研之友
微信
新浪微博
Facebook
分享链接
摘要
Theory predicts that individual investor's incentives to uncover new information about asset values are low if asset prices are efficient. This, in turn, implies that heterogeneity in investment manager skill, if present, should be most clearly visible among managers that focus on asset classes with less informationally efficient prices. We investigate this argument using a large sample of syndicated bank loan portfolios managed by collateralized loan obligation (CLO) managers. Using a CLO's equity tranche cashon-cash return to measure performance, we find strong persistence that is robust to an extensive set of risk controls. Although investors seem to derive their expectation about management quality from a manager's realized performance and allocate more capital to "skilled" managers, top performers cope to stay ahead of net-of-fees. This questions the rationality of managers and the efficiency of the syndicated loan market.
- 出版日期2017-6
