Agency-based asset pricing

被引：13

作者：

Gorton, Gary B. ^{[1
]}

He, Ping ^{[2
]}

Huang, Lixin ^{[3
]}

机构：

[1] Yale Univ, Sch Management, New Haven, CT 06520 USA

[2] Tsinghua Univ, Sch Econ & Management, Beijing 100084, Peoples R China

[3] Georgia State Univ, J Mack Robinson Sch Business, Atlanta, GA 30303 USA

来源：

JOURNAL OF ECONOMIC THEORY | 2014年 / 149卷

关键词：

Moral hazard; Managerial trading; Risk-sharing; Asset pricing; MORAL HAZARD; EXECUTIVE-COMPENSATION; MARKET EQUILIBRIUM; LARGE SHAREHOLDER; PERFORMANCE PAY; RISK; PRICES; INVESTMENT; INCENTIVES; MODEL;

D O I：

10.1016/j.jet.2012.09.017

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study an infinite-horizon Lucas tree model where a manager is hired to tend to the trees and is compensated with a fraction of the trees' output. The manager trades shares with investors and makes an effort that determines the distribution of the output. When the manager is less (more) risk-averse than the investors, managerial trading results in a less (more) volatile stock price and a lower (higher) risk premium. Trading between the manager and investors acts as an indirect renegotiation mechanism that dynamically modulates the manager's incentives and allocates risk and return, but its effectiveness is limited with dispersed small investors. (C) 2013 Elsevier Inc. All rights reserved.

引用

页码：311 / 349

页数：39

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