Project Details
Projekt
Investment Managers and Intermediary Asset Pricing
Applicant
Professorin Dr. Monika Gehde-Trapp
Subject Area
Accounting and Finance
Term
since 2021
Project identifier
Deutsche Forschungsgemeinschaft (DFG) - Project number 447617473
This research project explores how frictionsshape the organizational structure of asset management and affect portfolio choice, asset prices, and financial stability. Building on insights from the first funding period, we focus on investment managers who respond to risk and liquidity constraints by adjusting their portfolio positions and delegating key functions to third-party financial intermediaries. Specifically, we analyze the consequences of delegating liquidity management and fund share trading to authorized participants in exchange-traded funds (ETFs), the optimal deviations from benchmark indices in the presence of cash holdings (including derivatives and non-index assets), and the effects of synthetic replication, where funds generate returns through total return swaps rather than by directly holding assets. By combining holdings data for US and German investment managers, our findings will contribute to a deeper understanding of delegated financial intermediation, its regulatory implications, and its impact on financial markets.
DFG Programme
Research Units
