【主講】 何平，beat365經管學院金融系副教授

【主題】 代理問題下的資産定價

【時間】 2012-3-8（周四）14:30-16:00

【地點】 清華經管學院 偉倫樓404

【語言】 英文

【主辦】 beat365經濟系及金融系

【Speaker】 Ping He, Associate Professor, School of Economics and Management, Tsinghua University

【Topic】 Agency-Based Asset Pricing

【Time】 14:30-16:00, 2012-3-8, Thursday

【Venue】 Weilun 404, Tsinghua SEM

【Language】 English

【Organizer】 Department of Economics, Department of Finance

Abstract:

We study an infinite-horizon Lucas tree model where a manager is hired to tend to the trees and is compensated with a fraction of the trees’ output. The manager trades shares with investors and makes an effort that determines the distribution of the output. When the manager is less risk-averse than the investors, managerial trading smoothes output and results in a less volatile stock price and a lower risk premium; when the manager is more risk-averse, output and the stock price become more volatile and the risk premium is higher. Trading between the manager and investors acts as an indirect renegotiation mechanism that dynamically modulates the manager’s incentives, and in the meantime, allocates risk and return, but its effectiveness is limited when the market consists of dispersed small investors