Information Aggregation via Contracting

• 成果类型: Article
• 署名作者: Li, Jiasun
• 署名单位: George Mason University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13205
• 发表日期: 2023
• 页码: 935-965
• 关键词: rational-expectations; efficient

摘要

When a group of investors with dispersed private information jointly invest in a risky project, how should they divide the project's profit? We show that a simple contract dividing profits in proportion to investors' risk tolerances may facilitate information aggregation by altering investors' risk-taking incentives when they decide on how investment strategies respond to private information. Our results provide a contracting-based approach for information aggregation, which is an alternative to learning from endogenous market variables (e.g., prices) via contingent schedules as seen in well-known rational expectations equilibrium models.