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Time-Varying Incentives in the Mutual Fund Industry

Auteurs : OLIVIER Jacques (HEC Paris and CEPR); TAY Anthony (Singapore Management University)

Intervenants : OLIVIER Jacques (HEC Paris and CEPR)

This paper re-examines the incentives of mutual fund managers arising from investor flows. We provide evidence that the convexity of the flow-performance relationship varies with economic activity. We show that the effect is economically large and is driven neither by abnormal years nor by outliers. We test two possible channels through which this pattern may arise. We investigate implications of the time-varying convexity for the incentives of managers to alter strategically the risk of their portfolios. We provide evidence supporting a ‘conditional’ tournament hypothesis: poor mid-year performers increase the risk of the portfolio only when economic activity is strong. Finally, we briefly discuss some methodological implications.

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Bank Competition and Collateral: Theory and Evidence

Auteurs : WEILL Laurent (Université Robert Schuman); HAINZ Christa (University of Munich); GODLEWSKI Christophe (Université Louis Pasteur)

Intervenants : WEILL Laurent (Université Robert Schuman)

We investigate the impact of bank competition on the use of collateral in loan contracts. We develop a theoretical model incorporating information asymmetries in a spatial competition framework where banks choose between screening the borrower and asking collateral. We show that presence of collateral is more likely when bank competition is lower. We then test empirically this prediction on a sample of bank loans from 70 countries. We perform logit regressions of the presence of collateral on bank competition, measured by the Lerner index. Our empirical tests corroborate the theoretical predictions of a negative role of bank competition on the presence of collateral. These findings survive several robustness checks.

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A smoke screen theory of financial intermediation

Auteurs : BRETON Régis (Université d’Orléans)

Intervenants : BRETON Régis (Université d’Orléans)

with competitors who free ride on his screening activity. Absent commitment problems, the lender funds one borrower and exerts optimal evaluation. When borrowers cannot commit to a long term relationship, the free riding problem is responsible for too little evaluation. We show how this problem can be mitigated by simultaneously financing several borrowers. This effect provides a rationale for intermediaries as an ‘information garbling’ device.

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