G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8539
DP8539 Information Aggregation, Investment, and Managerial Incentives
Christian HELLWIG; Aleh Tsyvinski; Elias Albagli
发表日期2011-08-01
出版年2011
语种英语
摘要We study the interplay of share prices and firm decisions when share prices aggregate and convey noisy information about fundamentals to investors and managers. First, we show that the informational feedback between the firm's share price and its investment decisions leads to a systematic premium in the firm's share price relative to expected dividends. Noisy information aggregation leads to excess price volatility, over-valuation of shares in response to good news, and undervaluation in response to bad news. By optimally increasing its exposure to fundamental risks when the market price conveys good news, the firm shifts its dividend risk to the upside, which amplifies the overvaluation and explains the premium. Second, we argue that explicitly linking managerial compensation to share prices gives managers an incentive to manipulate the firm's decisions to their own benefit. The managers take advantage of shareholders by taking excessive investment risks when the market is optimistic, and investing too little when the market is pessimistic. The amplified upside exposure is rewarded by the market through a higher share price, but is inefficient from the perspective of dividend value.
主题Financial Economics ; International Macroeconomics
关键词Information aggregation Managerial incentives Market efficiency
URLhttps://cepr.org/publications/dp8539
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/537373
推荐引用方式
GB/T 7714
Christian HELLWIG,Aleh Tsyvinski,Elias Albagli. DP8539 Information Aggregation, Investment, and Managerial Incentives. 2011.
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