ACQUISITION OF INFORMATION TO DIVERSIFY CONTRACTUAL RISK

• 成果类型: Article
• 署名作者: Celen, Bogachan; Oezertuerk, Saltuk
• 署名单位: Columbia University; Southern Methodist University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2011.00674.x
• 发表日期: 2012
• 页码: 133-156
• 关键词: Moral hazard; COMPENSATION; performance; COMPETITION; incentives; management; executives; MARKET; agent; hedge

摘要

Are hedging transactions that diversify a managers compensation risk detrimental to incentives, or can they improve contracting efficiency? If hedging provides efficiency benefits, should the manager or the firm undertake it? In our model, both the firm and the manager can trade financial portfolios to diversify the managers compensation risk. Prior to the portfolio selection, the parties need to acquire information on how different financial portfolios fit their diversification purposes. We illustrate that financial portfolios correlated with firm-specific risk improve contracting efficiency. For equal information costs, it is optimal for the firm to undertake the hedging on the managers behalf.