Show simple item record

dc.contributor.advisorStephen A. Ross.en_US
dc.contributor.authorPapastaikoudi, Ioanna, 1977-en_US
dc.contributor.otherSloan School of Management.en_US
dc.date.accessioned2005-09-27T17:15:52Z
dc.date.available2005-09-27T17:15:52Z
dc.date.copyright2004en_US
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/1721.1/28603
dc.descriptionThesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2004.en_US
dc.descriptionIncludes bibliographical references (leaves 126-129).en_US
dc.description.abstractThis thesis consists of three chapters of independent but related work that investigate theoretically and empirically the organizational forms of delegated portfolio management. The first chapter proposes a theory of the organizational forms of investment vehicles based on adverse selection. Investors delegate the management of a pool of assets to an agent because of her superior but privately known ability. To tell managerial types apart, investors design compensation contracts that allow them to screen between managers of different abilities. We demonstrate that such a separation is possible in equilibrium when the proposed form of investment vehicle offers to investors debt and equity claims, such as a collateralized debt obligation. This organizational form will attract managers of high ability. Instead, lower ability managers will choose to manage structures that offer pure equity claims to investors, such as closed end funds, an organizational form arising only in a pooling equilibrium. The second chapter builds upon Chapter 1 and extends the theoretical framework to analyze the organizational determinants of equity structures such as open-end funds, closed-end funds and hedge funds. The analysis determines conditions for which each type of structure will arise in equilibrium. We show that managers will self select and choose a hedge fund structure when their investment skills exceed a minimum level. Managers below that threshold level will choose to manage either a closed-end or an open-end fund. The decision to open or close a fund does not only depend on managerial ability but also on the liquidity of the underlying assets. As such, it might well be the case that the decision to open a fund, given prior beliefs of low managerial ability,en_US
dc.description.abstract(cont.) is reversed because of the high costs of liquidations when unexpectedly unwinding the positions. The third chapter is joint work with Ilan Guedj. We examine whether mutual fund families affect the performance of the funds they manage. From a sample of funds belonging only to large families we find that last year's best performing funds outperform last year's worst performing funds by 58 basis points. We also show that there exists persistence of performance of these funds inside their respective families. Supporting these findings, we also show that the better performing funds in a family have a higher probability of being allocated more managers, one of the main resources available. This is consistent with the view that fund families allocate resources in proportion to fund performance and not fund needs.en_US
dc.description.statementofresponsibilityby Ioanna Papastaikoudi.en_US
dc.format.extent145 leavesen_US
dc.format.extent8869753 bytes
dc.format.extent8888293 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypeapplication/pdf
dc.language.isoen_US
dc.publisherMassachusetts Institute of Technologyen_US
dc.rightsM.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.en_US
dc.rights.urihttp://dspace.mit.edu/handle/1721.1/7582
dc.subjectSloan School of Management.en_US
dc.titleEssays in delegated portfolio managementen_US
dc.typeThesisen_US
dc.description.degreePh.D.en_US
dc.contributor.departmentSloan School of Management
dc.identifier.oclc57518472en_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record