An equilibrium model of asset pricing and moral hazard

• 成果类型: Article
• 署名作者: Hui, OY
• 署名单位: Duke University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhi025
• 发表日期: 2005
• 页码: 1253
• 关键词: relative performance evaluation; principal-agent problem; executive-compensation; idiosyncratic risk; prices; incentives; MARKET; INFORMATION; time; CEOS

摘要

This article develops an integrated model of asset pricing and moral hazard. It is demonstrated that the expected dollar return of a stock is independent of managerial incentives and idiosyncratic risk, but the equilibrium price of the stock depends on them. Thus, the expected rate of return is affected by managerial incentives and idiosyncratic risk. It is shown, however, that managerial incentives and idiosyncratic risk affect the expected rate of return through their influence on systematic risk rather than serve as independent risk factors. It is also shown that the risk aversion of the principal in the model leads to less emphasis on relative performance evaluation than in a model with a risk-neutral principal.