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- W3210145402 abstract "We introduce continuous-time rational models of concentration in the active fund management industry, where managers with heterogenous dynamic unobservable abilities compete for investments of risk-neutral or risk-averse investors. Fund flows increase with managers’ inferred abilities, inducing endogenous dynamic distribution of fund sizes, thus, dynamic industry concentration [measured by the Herfindahl-Hirschman Index (HHI)]. In equilibrium, increases in managers’ inferred abilities that are sufficiently larger (smaller) than others’, increase (decrease) the HHI. Changes in inferred abilities affect the HHI dynamics and curvature and, consequently, funds’ performances and sizes. These combined effects explain corresponding stylized facts and offer guidance for empirical studies." @default.
- W3210145402 created "2021-11-08" @default.
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- W3210145402 date "2021-01-01" @default.
- W3210145402 modified "2023-10-17" @default.
- W3210145402 title "Endogenous Dynamic Concentration of the Active Fund Management Industry" @default.
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- W3210145402 doi "https://doi.org/10.2139/ssrn.3948277" @default.
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