Agency-based asset pricing

• 成果类型: Article
• 署名作者: Gorton, Gary B.; He, Ping; Huang, Lixin
• 署名单位: Yale University; Tsinghua University; University System of Georgia; Georgia State University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2012.09.017
• 发表日期: 2014
• 页码: 311-349
• 关键词: Moral hazard; Managerial trading; risk-sharing; asset pricing

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.