A Model of Portfolio Delegation and Strategic Trading

• 成果类型: Article
• 署名作者: Kyle, Albert S.; Hui Ou-Yang; Wei, Bin
• 署名单位: University System of Maryland; University of Maryland College Park; City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr054
• 发表日期: 2011
• 页码: 3778
• 关键词: Moral hazard; INFORMATION; performance; liquidity; price; COMPENSATION; incentives; management; MARKET; AGENCY

摘要

This article endogenizes information acquisition and portfolio delegation in a one-period strategic trading model. We find that, when the informed portfolio manager is relatively risk tolerant (averse), price informativeness increases (decreases) with the amount of noise trading. When noise trading is endogenized, the linear equilibrium in the traditional literature breaks down under a wide range of parameter values. In contrast, a linear equilibrium always exists in our model. In a conventional portfolio delegation model under a competitive partial equilibrium, the manager's effort of acquiring information is independent of a linear incentive contract. In our strategic trading model, however, a higher-powered linear contract induces the manager to exert more effort for information acquisition.