Capital commitment and performance

Detalhes bibliográficos
Autor(a) principal: Gómez, Juan Pedro
Data de Publicação: 2022
Outros Autores: Prado, Melissa Porras, Zambrana, Rafael
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/163785
Resumo: Publisher Copyright: © 2022 Cambridge University Press. All rights reserved.
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spelling Capital commitment and performanceThe role of mutual fund chargescapital commitmentilliquid stocksinvestment horizonload feesMutual fundnet alphassales fee structureslow-moving arbitrage opportunitiestrading durationvalue addedAccountingFinanceEconomics and EconometricsPublisher Copyright: © 2022 Cambridge University Press. All rights reserved.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.NOVA School of Business and Economics (NOVA SBE)RUNGómez, Juan PedroPrado, Melissa PorrasZambrana, Rafael2024-02-19T22:32:19Z2022-11-012022-11-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/163785eng0022-1090PURE: 47848398https://doi.org/10.1017/S0022109022001235info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:48:41Zoai:run.unl.pt:10362/163785Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:59:51.091219Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Capital commitment and performance
The role of mutual fund charges
title Capital commitment and performance
spellingShingle Capital commitment and performance
Gómez, Juan Pedro
capital commitment
illiquid stocks
investment horizon
load fees
Mutual fund
net alphas
sales fee structure
slow-moving arbitrage opportunities
trading duration
value added
Accounting
Finance
Economics and Econometrics
title_short Capital commitment and performance
title_full Capital commitment and performance
title_fullStr Capital commitment and performance
title_full_unstemmed Capital commitment and performance
title_sort Capital commitment and performance
author Gómez, Juan Pedro
author_facet Gómez, Juan Pedro
Prado, Melissa Porras
Zambrana, Rafael
author_role author
author2 Prado, Melissa Porras
Zambrana, Rafael
author2_role author
author
dc.contributor.none.fl_str_mv NOVA School of Business and Economics (NOVA SBE)
RUN
dc.contributor.author.fl_str_mv Gómez, Juan Pedro
Prado, Melissa Porras
Zambrana, Rafael
dc.subject.por.fl_str_mv capital commitment
illiquid stocks
investment horizon
load fees
Mutual fund
net alphas
sales fee structure
slow-moving arbitrage opportunities
trading duration
value added
Accounting
Finance
Economics and Econometrics
topic capital commitment
illiquid stocks
investment horizon
load fees
Mutual fund
net alphas
sales fee structure
slow-moving arbitrage opportunities
trading duration
value added
Accounting
Finance
Economics and Econometrics
description Publisher Copyright: © 2022 Cambridge University Press. All rights reserved.
publishDate 2022
dc.date.none.fl_str_mv 2022-11-01
2022-11-01T00:00:00Z
2024-02-19T22:32:19Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/163785
url http://hdl.handle.net/10362/163785
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0022-1090
PURE: 47848398
https://doi.org/10.1017/S0022109022001235
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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