| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w12084
|
| 来源ID | Working Paper 12084
|
| Agency-Based Asset Pricing |
| Gary Gorton; Ping He
|
| 发表日期 | 2006-03-06
|
| 出版年 | 2006
|
| 语种 | 英语
|
| 摘要 | We analyze the interaction between managerial decisions and firm value/asset prices by embedding the standard agency model of the firm into an otherwise standard asset pricing model. When the manager-agent's compensation depends on the firm's stock price performance, stock prices are set to induce the creation of future cash flows, instead of representing the discounted value of exogenous cash flows, as in the standard model. In our case, stock prices are formed via trading in the market to induce the managers to hold the number of shares consistent with the optimal effort level desired by the outside investors. We compare two price formation mechanisms, corresponding to two firm ownership structures. In the first, stock prices are formed competitively among a continuum of dispersed investors. In the second, stock prices are set by a single block shareholder, as a bargaining solution. Under both mechanisms there are persistent, dynamic, patterns of asst prices, The level of the equity premium and the return volatility depend on the risk aversion of the agents in the economy and the ownership structure of firms. |
| 主题 | Financial Economics
; Financial Markets
|
| URL | https://www.nber.org/papers/w12084
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569737
|
推荐引用方式
GB/T 7714 |
Gary Gorton,Ping He. Agency-Based Asset Pricing. 2006.
|
|
文件名：
|
w12084.pdf
|
|
格式：
|
Adobe PDF
|
此文件暂不支持浏览
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
