Skip to main content
Open Access Publications from the University of California


Recent Work bannerUCLA

Agency and Asset Pricing


This paper is concerned with the asset pricing implications of the substantial proportion of equity portfolios that are managed on an agency basis. Portfolio managers who act as agents are assumed to be concerned with the mean and variance of their return measured relative to a benchmark portfolio. Depending on how the benchmark portfolios are chosen, this will affect the equilibrium structure of expected returns. The empirical analysis, which assumes that the benchmark can be identified with the S&P500 portfolio, finds evidence of the pricing effects predicted by the agency model.

Main Content
For improved accessibility of PDF content, download the file to your device.
Current View