臺灣博碩士論文加值系統

We consider a firm facing the managerial moral hazard problem and an
incomplete contract constraint. In the absence of securities markets, as in
Dewatripont and Tirole (1994, QJE), the firm optimally chooses a managerial
compensation scheme and designs a set of corporate securities and financial
contracts which specify the investors’ and the manager’s payoffs as functions of
short-term and long-term earnings, and also a contingent allocation of control
right among investors. In the presence of securities markets, however, we
show that the firm’s governance structure must be biased to reconcile with its
concerns of offering risk sharing to public investors. In particular, depending
on the nature of the security demand, a risky or a riskless security should be optimally issued, which calls for an alteration in both the firm’s optimal
capital structure and the optimal managerial compensation scheme. More
precisely, we obtain the following results. (i) When the demand for corporate
securities is mainly motivated by the need of hedging future endowment risk
(referred to as the hedging demand), the firm may bias its financing decision
toward borrowing less (compared to the case where securities markets do not
exist); and when the demand for corporate securities is mainly motivated by
the need of smoothing life-time consumption (referred to as the consumption
demand), the firm may instead bias its financing decision toward borrowing
more. (ii) When the security design is driven by the hedging demand, and
when the intensity of the hedging demand is positively correlated with the
firm’s short-term earnings, the firm may benefit from replacing the explicit
managerial compensation by indulging the informed manager’s insider trading
activity, which yields an implicit profit to the manager. (iii) In the absence of
securities markets, the explicit managerial compensation does not vary with
the firm quality; in the presence of securities markets, the explicit managerial
compensation as a function of firm quality exhibits a U-shape pattern, with
the lowest managerial salary appearing at a mediocre firm. (iv) When the
security design is driven by the hedging demand, a firm whose systematic risk
and the business cycle are positively correlated tends to benefit from going
public following a boom more than its counterpart whose systematic risk is
negatively correlated with the business cycle.

Contents
1 Introduction 4
2 Literature Review 15
2.1 Insider trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.2 Security design . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2.3 Optimal private financial contracts . . . . . . . . . . . . . . . . . . . 22
2.4 Initial public offering . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
3 The Economy 30
4 Optimal Contract with Hedging Demand for Securities 34
4.1 The equilibrium in the security market . . . . . . . . . . . . . . . . . 35
4.2 The optimal managerial compensation scheme and control right of
the firm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
4.3 Equity and debt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
4.4 Comparative statics and interpretation . . . . . . . . . . . . . . . . . 47
4.5 Other forms of the hedging demand . . . . . . . . . . . . . . . . . . . 51
4.6 Informed Intervening Investor . . . . . . . . . . . . . . . . . . . . . . 55
5 Optimal Contracts with Consumption Demand for Securities 59
6 Systematic Risk and IPO 71
7 Concluding Remarks 76

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