We model asset management as a continuum between active and passive: managers can deviate from benchmark indices to exploit noise trader–induced distortions, but agency frictions constrain these deviations. Because constraints force managers to buy assets that they underweight when these assets appreciate, overvalued assets have high volatility, and the risk-return relationship becomes inverted. Distortions are more severe for overvalued assets than for undervalued ones because trading against the former entails more risk and tighter constraints. We provide empirical evidence supporting our model’s main mechanisms. Using the data, we infer the constraints’ tightness and compute a measure of effective arbitrage capital.

中文翻译：

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资产管理合约和均衡价格

我们将资产管理建模为主动和被动之间的连续体：管理者可以偏离基准指数以利用噪音交易者引起的扭曲，但机构摩擦限制了这些偏差。由于约束迫使管理者在资产升值时购买他们减持的资产，因此被高估的资产具有高波动性，风险收益关系倒转。与低估资产相比，高估资产的扭曲更为严重，因为与前者交易会带来更多风险和更严格的约束。我们提供了支持我们模型的主要机制的经验证据。使用这些数据，我们推断约束的紧密性并计算有效套利资本的衡量标准。