In this paper, we describe how agency frictions in asset management can generate prime violations of the Efficient Markets Hypothesis, such as momentum, value and an inverted risk-return relationship. Momentum in our theory is associated with procyclical fund flows and price over-reaction, and is more pronounced for overvalued assets. The investors who generate the momentum and who are losing from it are those requiring their asset managers to keep their portfolios close to benchmark indices. Our theory suggests a rethinking of asset management contracts. Contracts should employ measures of long-run risk and return, and benchmark indices that emphasize asset fundamentals. There should also be greater transparency on managers’ choice of strategies.

在本文中，我们描述了资产管理中的代理摩擦如何产生对有效市场假说的主要违反，例如动量、价值和反向风险回报关系。我们理论中的动量与顺周期资金流动和价格过度反应有关，并且对于高估资产更为明显。产生动力并从中损失的投资者是那些要求资产管理人将其投资组合保持在接近基准指数的投资者。我们的理论建议重新思考资产管理合同。合约应采用长期风险和回报的衡量标准，以及强调资产基本面的基准指数。管理人员的战略选择也应该更加透明。