生产状态转移对代理人问题和公司投资的影响

The Interaction of the Productivity Shocks with the Agency Problem and Investment of the Company

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.

This paper sets a more realistic marketing context which contains productivity shocks and large losses shocks to explore the influences that the two shocks played on the agency problem, the firm＇s value and investment. By adopting the principal-agent theory and stochastic control principle, we build an optimal dynamic contract model between the investors and the agent which is depicted by an partial differential equation （PDE）. The contract is incentive-compatible to the agent and maximizes the investors＇ value function. Deferred compensation, possible termination, and adjustment of agent＇s compensation are also included. Lots interesting results are found. The influences that the large losses played the investment in high production state are more serious than in low production state. This finding is coincidence with the phenomenons in tile behavioral economics that when the agent faces inefficiency termination, he will work more aggressively in the sluggish market than in the booming one. second, when the productivity shocks happen, the adjustment compensa- tion imposes great incentive function on the agent. This conclusion breaks the traditional opinion that the agent＇s scaled compensation should only related to his own performance. However the effects fade away ats the agency＇s compensation increasing. Lastly, firm＇s in- vestment decision has an positive correlation with firm＇s profits, and it also influenced by the productivity state shift and the termination risk indirectly. When the productivity state turns better, investment becomes more profitable, and the agency problem relaxed for the adjustment compensation, both of them make the investment increasing.