Leverage decision and manager compensation with choice of effort and volatility

• 成果类型: Article
• 署名作者: Cadenillas, A; Cvitanic, J; Zapatero, F
• 署名单位: University of Southern California; University of Alberta; University of Southern California; University of Southern California
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2003.06.003
• 发表日期: 2004
• 页码: 71-92
• 关键词: capital structure; Principal-agent; stochastic control

摘要

We study the incentive effects of granting levered or unlevered stock to a risk-averse manager. The stock is granted by risk-neutral shareholders who choose leverage and compensation level. The manager applies costly effort and selects the level of volatility, both of which affect expected return. The results are driven by the attempt of the risk-neutral shareholders to maximize the value of their claims net of the compensation package. We consider a dynamic setting and find that levered stock is optimal for high-type managers, firms with high momentum, large firms, and firms for which additional volatility only implies a modest increase in expected return. (C) 2004 Elsevier B.V. All rights reserved.