Incentive-compatible contracts for the sale of information

• 成果类型: Article
• 署名作者: Biais, B; Germain, L
• 署名单位: Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; TBS Education
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/15.4.987
• 发表日期: 2002
• 页码: 987
• 关键词: market

摘要

An informed financial institution can trade on private information and also sell it to clients through a managed fund. To provide an incentive for the informed agent to trade in the interest of her client, the optimal contract requires that she be compensated as an increasing function of the profits of the fund. The optimal contract is also designed to limit the aggressiveness of the sum of the fund's trade and the proprietary trade. This reduces information revelation and thus leads to greater overall trading profits than if the informed agent only conducted proprietary trades.