【本期主题】 An Institutional REE Model with Relative Performance
We propose a noisy rational expectations equilibrium model of delegated portfolio management in the presence of relative performance. Uninformed managers’uncertainty about the performance of informed managers generates hedging demand which leads them to trade excessively. Informed managers do not need to hedge if they receive a common signal, but relative performance leads them to trade less aggressively on their signal.The price thus contains less information. Informed managers hedge the uncertainty of the performance of other informed if they receive different signals. Hedging changes the weights they put on their signals, hence affects information content of asset prices.Moreover, if a common signal is introduced, informed hedging leads managers to put more weight on it. As a result, the price is more sensitive to public
signal than to private ones.
【报告人】邱志刚 中国人民大学汉青经济与金融高级研究院助理教授；
伦敦政治经济学院金融学博士
【时 间】3月30日中午12:00
【地 点】中国人民大学明德主楼714
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报告人简介：
邱志刚博士于伦敦经济学院取得理学硕士学位、利兹大学取得会计和金融硕士学位、东北财经大学取得会计学学士学位。邱博士的主要研究方向是委托投资组合管理以及资产定价理论，同时他也关注非对称信息条件下的资产定价以及市场的微观结构。
中国人民大学财政金融学院
梁晶工作室
