We study the equilibrium implications of a multi-asset economy in which asset managers performance is tied to different benchmarks, reflecting heterogeneity in their investment mandates. Fluctuations in the capital asset managers invest for benchmarking purposes, scaled by the size of the economy, induce price pressure that results in negative spillovers across assets. We characterize a rich structure of asset price comovement within and across benchmarks by analyzing shock elasticities and cross-elasticities of price-dividend ratios. Evidence on the heterogeneity of mutual fund mandates and the benchmarking-induced return comovement across cap-style and industry-sector portfolios corroborates the model assumptions and predictions.

我们研究了多资产经济的均衡影响，其中资产管理者的绩效与不同的基准挂钩，反映了他们投资授权的异质性。资本资产管理人出于基准目的进行投资的波动，根据经济规模进行衡量，会引发价格压力，从而导致资产的负面溢出效应。我们通过分析价格股息比率的冲击弹性和交叉弹性，描述了基准内部和基准之间资产价格联动的丰富结构。关于共同基金任务的异质性以及基准化诱导的上限型和行业投资组合的回报联动的证据证实了模型假设和预测。