生产状态转移对代理人问题和公司投资的影响

发布时间：2018-05-28 18:58

本文选题：代理人问题 + 生产状态转移　；参考：《应用数学学报》2017年05期

【摘要】：在委托代理理论框架下,本文考虑更符合实际的市场环境,研究生产状态转换和重大损失风险两大不稳定因素对代理人贴现价值,公司价值及投资量的影响.文章根据最优合约理论和随机控制原理,在代理人与投资者之间建立一个动态最优合约模型,该模型一方面对代理人具有足够的激励作用,另一方面最大化投资者的价值函数.此外,延缓支付,清算风险和由生产状态转移引起的代理人报酬的补偿报酬等因素也都包含其中·文章发现:重大事故风险对高生产状态下投资量的影响大于对代低生产状态下投资量的影响.这一结果有效解释了行为经济学中当经理人面临清算时,在市场低迷状态下往往选择奋力一搏增加投资量,而在市场繁荣状态下的选择却更保守这一现象.其次,当不受代理人控制的生产状态转换发生时,代理人所得到的补偿价值对代理人具有重要的激励作用,但随着代理人价值函数的增加,激励作用逐渐减弱.该结论打破了代理人所得报酬应只与自身的表现有关,而不应受其他外界因素的影响这-传统认知;最后,投资决策依赖于公司效益,生产状态转换和清算风险也间接影响公司的投资决策.当生产状态好转时,且贴现价值的激励作用使代理人问题得到缓解,投资也变得更加有利,投资量会增加;反之亦然.
[Abstract]:Under the framework of principal-agent theory, this paper considers the market environment more in line with the reality, and studies the influence of the unstable factors, such as the transition of production state and the risk of heavy loss, on the discount value, the company value and the investment amount of the agent. Based on the optimal contract theory and stochastic control principle, a dynamic optimal contract model is established between the agent and the investor. On the one hand, the model has sufficient incentive function for the agent, on the other hand, it maximizes the value function of the investor. In addition, the payment was deferred, Such factors as liquidation risk and compensation for agent's remuneration caused by production state transfer are also included in this paper. It is found that the influence of major accident risk on investment amount in high production state is greater than that on investment amount under substitute low production state. This result effectively explains that when managers are facing liquidation in behavioral economics, they tend to struggle to increase the amount of investment in a depressed market, while in a prosperous market, the choice is more conservative. Secondly, when the transition of production state is not controlled by the agent, the compensation value obtained by the agent plays an important role in motivating the agent, but with the increase of the value function of the agent, the incentive function gradually weakens. This conclusion breaks the traditional view that the remuneration of agents should only be related to their own performance and should not be influenced by other external factors. Finally, investment decisions depend on the company's efficiency. Production state transition and liquidation risk also indirectly affect the company's investment decisions. When the state of production improves and the incentive of discounted value alleviates the agent problem, the investment becomes more favorable and the amount of investment increases, and vice versa.
【作者单位】：浙江大学数学科学学院;浙江财经大学中国金融研究院;新加坡国立大学;浙江工商大学金融研究所;
【基金】：国家自然科学基金(11171304、71371168、11571310)资助项目
【分类号】：F273;F275

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