| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8539 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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