Agency conflicts, investment, and asset pricing

• 成果类型: Article
• 署名作者: Albuquerque, Rui; Wang, Neng
• 署名单位: Boston University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01309.x
• 发表日期: 2008
• 页码: 1-40
• 关键词: free cash flow; corporate governance; ECONOMIC-GROWTH; private benefits; business groups; MODEL; PROTECTION; MARKETS; finance; prices

摘要

The separation of ownership and control allows controlling shareholders to pursue private benefits. We develop an analytically tractable dynamic stochastic general equilibrium model to study asset pricing and welfare implications of imperfect investor protection. Consistent with empirical evidence, the model predicts that countries with weaker investor protection have more incentives to overinvest, lower Tobin's q, higher return volatility, larger risk premia, and higher interest rate. Calibrating the model to the Korean economy reveals that perfecting investor protection increases the stock market's value by 22%, a gain for which outside shareholders are willing to pay 11% of their capital stock.