管理防御视域下的管理者特征与公司业绩研究

在信息不对称和契约不完备的情况下,自利管理者与股东之间的利益冲突,引发管理者固守职位并最大化自身效用的管理防御行为。通过选择管理者年龄、管理者任期、管理者学历、管理者持股比例和管理者薪酬等特征变量,选取2003-2008年间6年连续上市的A股上市公司面板数据,从管理防御视角考察管理者特征与公司业绩的相关性。研究表明管理者年龄、管理者学历和管理者薪酬与公司业绩显著正相关,管理者任期与业绩显著负相关,管理者持股对业绩有负面影响。     

Termination fees and bilaterally efficient merger contracts

We present a simple model of exchange in which mutual gains from trade motivate the use of termination fees in merger contracts. The inclusion of a termination fee permits bilaterally efficient merger contracts that make merger consummation more likely and result in higher merger payoffs for both the bidder and the target compared to contracts without termination fees. Introducing risk aversion for either the bidder or the target has negligible effects upon the preferred contracts, revealing that termination fees are not primarily a form of bidder insurance, although they do increase the probability that a merger is consummated. The model provides a rich collection of predictions, all of which are consistent with the empirical regularities reported to date.     

A structural model of sales-force compensation dynamics: Estimation and field implementation

We present an empirical framework to analyze real-world sales-force compensation schemes, and report on a multi-million dollar, multi-year project involving a large contact lens manufacturer at the US, where the model was used to improve sales-force contracts. The model is built on agency theory, and solved using numerical dynamic programming techniques. The model is flexible enough to handle quotas and bonuses, output-based commission schemes, as well as “ratcheting” of compensation based on past performance, all of which are ubiquitous in actual contracts. The model explicitly incorporates the dynamics induced by these aspects in agent behavior. We apply the model to a rich dataset that comprises the complete details of sales and compensation plans for the firm’s US sales-force. We use the model to evaluate profit-improving, theoretically-preferred changes to the extant compensation scheme. These recommendations were then implemented at the focal firm. Agent behavior and output under the new compensation plan is found to change as predicted. The new plan resulted in a 9% improvement in overall revenues, which translates to about $12 million incremental revenues annually, indicating the success of the field-implementation. The results bear out the face validity of dynamic agency theory for real-world compensation design. More generally, our results fit into a growing literature that illustrates that dynamic programming-based solutions, when combined with structural empirical specifications of behavior, can help significantly improve marketing decision-making, and firms’ profitability.     

A Leibenstein–Hobbes–Walras Model of Sharecropping

Circumstances under which share tenancy may emerge as a socially viable and incentive-compatible system of land-labor exchange are explored in a model incorporating Leibenstein’s nutrition-effort hypothesis, limited substitution possibilities and endogenous distribution. The model provides a Walrasian resolution of the traditional conundrum of production control under sharecropping. It is shown that a pure sharecropp ing equilibrium with tenant control exists when land is relatively abundant though land rent is zero under either a fixed-rent or wage system. With land relatively scarce, a nearly-symmetric equilibrium with landlord control also exists provided workers share income in the presence of unemployment.     

非对称信息下实物期权投资经理人的最优薪酬激励机制

在经理人努力水平和项目经营成本两种信息不对称的情况下．研究实物期权投资经理人的最优激励机制,综合应用实物期权理论和委托代理理论,在非对称信息为连续分布（区间上的均匀分布）的情况下建立了最优激励机制模型,并具体分析求解最优分成制合约,分析信息不对称对企业拥有者制定经理人最优激励合同的影响。     

Interfirm Control of Plural Formed Marketing Channels

ABSTRACT

Borrowing multi-contract theory from the organizational economics literature (Hart 1983; Holmstrøm 1982; Lazear and Rosen 1981) I build a multilevel channel framework of network control. This framework incorporates both multi-contract theory and the traditional dyadic approach.

I also propose a dynamic perspective of the organizational control process that shifts from a dyadic pre-contractual model focused on the anticipated attributes of the bilateral relationship to a post-contractual phase focused on the interaction between dyads in a network of different contracts. It is difficult and costly to formulate an explicit contract that safeguards the principal's post-contractual interests (Ouchi 1979). Organizational learning and control based on comparative information can support such incomplete contracts.     

On the optimal mix of corporate hedging instruments: Linear versus nonlinear derivatives

We examine how corporations should choose their optimal mix of linear and nonlinear derivatives. We present a model in which a firm facing both quantity (output) and price (market) risk maximizes its expected profits when subjected to financial distress costs. The optimal hedging position generally is comprised of linear contracts, but as the levels of quantity and price‐risk increase, the use of linear contracts will decline due to the risks associated with overhedging. At the same time, a substitution effect occurs toward the use of nonlinear contracts. The degree of substitution will depend on the correlation between output levels and prices. Our model also allows us to provide insight into the relation between a firm's derivatives usage and its transaction‐cost structure. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:217–239, 2003     

The organization of relational contracts: The allocation of rights in franchising

Franchising contracts are designed to bring together two kinds of entrepreneurs, the franchiser and the franchisee, and to maintain their relationship in the long run. In contrast to standard exchange contracts in law, which are specifically designed to bring about the completion of an exchange efficiently, franchise contracts are designed to make it possible for the entrepreneurs to initiate, to maintain, and to eventually terminate their relationship without dispute. The research reported in this article is an attempt to see how the dual purpose of franchising contracts are achieved. The article first describes the internal organization of franchise contracts (what we called the micro-contractual aspects) and how different kinds of rights and obligations are allocated to accomplish these multiple ends. The second part of the article provides an empirical examination of 30 franchise contracts to see if the internal organization of the contracts influence both the expansion of the franchise operations through new franchises and the amount of dispute between the two sides of franchise contracts.Every franchise contract includes a set of provisions that define the commencement, termination, and ongoing operations of franchise relations. The internal organization of franchise contracts specifies what kinds of rights and obligations are distributed to the parties and the nature of this allocation within each domain of provisions. We argue that the commencement and termination aspects of franchise contracts are usually written in order to make the relationship between the parties clear, and the contingencies specific. In these provisions, the contract is written in discrete terms in which each party's rights and duties are specifically delineated. The contractual provisions dealing with the ongoing operations and the conduct of the parties, on the other hand, cannot be made specific because it is impossible to define all the future contingencies and possible business opportunities. Under these conditions, the contract is usually written in relational terms in which each party's rights and obligations are defined in terms of powers and liabilities towards each other rather than in terms of specific duties and rights.One critical consequence of writing contracts that include powers and liabilities, however, is that it may lead to disputes and undesirable conflict that are detrimental to the success of the franchise. In order to deal with these conflicts among the parties, the contract needs to specify conflict resolution mechanisms that are an integral part of franchise contracts.These general arguments are tested with the use of 30 randomly selected franchise contracts from a diverse set of businesses. Our results show that, indeed, different parts of franchise contracts allocate rights and obligations differently and the more relational a contract becomes the more likely that it would include various dispute resolution mechanisms. We also found that the success of a franchise contract, which is measured by the number of legal disputes it generates and the growth of franchised units, is influenced by the existence of relational provisions and the explicit dispute resolution mechanisms included in the contract.We recommend that franchise contracts should be written to make the commencement and termination aspect of the relationship as discrete as possible. The operations and conduct provisions of the contract, on the other hand, should be written in relational terms to give the parties the ability to respond to changes in business conditions without renegotiating the contract.It is usually the tendency on the part of franchise lawyers to write discrete contracts that attempt to specify every conceivable contingency to avoid future disputes. We argue here that a better strategy is to limit the discrete aspects of the contract to the commencement and termination clauses and to concentrate more on the dispute resolution mechanisms that can become an integral part of the contract. Thus, we also recommend that various dispute resolution mechanisms, such as franchisee associations, franchisee councils, and third party arbitration should be set up within the contract to address the possible disputes early on rather than to wait for potentially very costly court proceedings for both parties.     

Antecedents and consequences of psychological contracts: Does organizational culture really matter?

Exploring the role of psychological contracts, this study proposes that different organizational cultures are associated with relational psychological contracts compared to transactional contracts while both types of contracts serve as mediators. While clan cultures positively impact relational contracts and are negatively associated with transactional contracts, hierarchical cultures have the reverse effect. In addition, psychological contract types mediate the two culture types' relationship to both organizational commitment and employee yearly earnings. In sum, clan cultures relate to more positive organizational outcomes than hierarchical cultures, a finding which as implications for future research and practice.     

Labor market institutions,firm-specific skills,and trade patterns

This paper studies how a country's labor market institutions, by affecting workers' skill acquisition, can shape its export patterns. I develop an open-economy model in which workers undertake non-contractible activities to acquire firm-specific skills on the job. In the model, labor market protection raises workers' incentives to acquire firm-specific skills relative to general skills, turning labor laws into a source of comparative advantage. In particular, the model shows that countries with more protective labor laws export relatively more in firm-specific skill-intensive sectors at both the intensive and extensive margins. To test the theoretical predictions, I construct sector proxies for the firm-specific and industry-specific skill intensity by estimating returns to firm tenure and industry tenure for different U.S. manufacturing sectors during the 1974–1993 period. By estimating sector-level gravity equations for 84 countries using the Helpman–Melitz–Rubinstein (2008) framework, I find evidence supporting the predicted effects of labor market institutions at both margins of exports.     

企业债务融资方式的比较分析——一个基于金融契约理论的分析框架

建立在不完全契约理论基础上的金融契约理论认为,金融交易本质上是就财产权利所作的契约安排,因此每一种融资方式都可以视为一种不完全契约。本文把债务融资方式分为关系型和保持距离型两种,在Hart-Moore模型的基础上构造一个企业债务融资的不完全契约模型,对两种债务融资方式进行比较分析,结果表明:在项目投资收益率大于市场利率的条件下,关系型债务融资具有帕累托效率。     

OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS

We consider the problem of optimal risk sharing of some given total risk between two economic agents characterized by law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an optimal risk sharing allocation which is in addition increasing in terms of the total risk. We next provide an explicit characterization in the case where both agents' utility functions are comonotone. The general form of the optimal contracts turns out to be given by a sum of options (stop-loss contracts, in the language of insurance) on the total risk. In order to show the robustness of this type of contracts to more general utility functions, we introduce a new notion of strict risk aversion conditionally on lower tail events, which is typically satisfied by the semi-deviation and the entropic risk measures. Then, in the context of an AV@R-agent facing an agent with strict monotone preferences and exhibiting strict risk aversion conditional on lower tail events, we prove that optimal contracts again are European options on the total risk.     

A simplified pricing model for volatility futures

We develop a general model to price VIX futures contracts. The model is adapted to test both the constant elasticity of variance (CEV) and the Cox–Ingersoll–Ross formulations, with and without jumps. Empirical tests on VIX futures prices provide out‐of‐sample estimates within 2% of the actual futures price for almost all futures maturities. We show that although jumps are present in the data, the models with jumps do not typically outperform the others; in particular, we demonstrate the important benefits of the CEV feature in pricing futures contracts. We conclude by examining errors in the model relative to the VIX characteristics. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:307–339, 2011     

A Comparison of Consumer Expenditures by Housing Tenure

Although studies of housing tenure choice are numerous, none found discuss how tenure is related to consumer expenditures. Using data from the U.S. Consumer Expenditure Survey, this study investigates whether differences observed in selected expenditures across tenure are due to dissimilar demographics alone, or to underlying differences in consumers which are reflected in their choice of tenure. Expenditures by homeowners and renters are examined and compared.     

MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS

We analyze the implications of dynamic flows on a mutual fund's portfolio decisions. In our model, myopic investors dynamically allocate capital between a riskless asset and an actively managed fund which charges fraction‐of‐fund fees. The presence of dynamic flows induces “flow hedging” portfolio distortions on the part of the fund, even though investors are myopic. Our model predicts a positive relationship between a fund's proportional fee rate and its volatility. This is a consequence of higher‐fee funds holding more extreme equity positions. Although both the fund portfolio and investors' trading strategies depend on the proportional fee rate, the equilibrium value functions do not. Finally, we show that our results hold even if investors are allowed to directly trade some of the risky securities.     

General equilibrium pricing of nonredundant forward contracts

We derive the general equilibrium of a dynamic financial market in which the investors' opportunity set includes nonredundant forward contracts. We show that Breeden's (1979) consumption‐based CAPM equation for forward contracts contains an extra term relative to that for cash assets. We name this term a strategy risk premium. It compensates investors for the (systematic) risk that stems from their very portfolio strategies when the latter involve nonredundant forward contracts. We also show that Merton's (1973) multibeta intertemporal CAPM must be amended for forward contracts to exhibit adjusted risk premia for the market portfolio and all relevant state variables, as opposed to the usual risk premia for cash assets. Our results are shown not to depend on the usual cash‐and‐carry relationship, which, in general, does not hold. We, nevertheless, provide a well‐known special case where it does hold, albeit not grounded on the usual no‐arbitrage argument. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:817–840, 2003     

OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

The connection between optimal stopping of random systems and the theory of the Snell envelop is well understood, and its application to the pricing of American contingent claims is well known. Motivated by the pricing of swing contracts (whose recall components can be viewed as contingent claims with multiple exercises of American type) we investigate the mathematical generalization of these results to the case of possible multiple stopping. We prove existence of the multiple exercise policies in a fairly general set-up. We then concentrate on the Black–Scholes model for which we give a constructive solution in the perpetual case, and an approximation procedure in the finite horizon case. The last two sections of the paper are devoted to numerical results. We illustrate the theoretical results of the perpetual case, and in the finite horizon case, we introduce numerical approximation algorithms based on ideas of the Malliavin calculus.     

THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS

It is commonly believed that the trading of futures on a commodity enables the market to overcome short selling constraints on the spot commodity itself. This belief is embedded in the notion that trading strategies involving futures contracts enable traders to replicate the payoffs as if they were short the spot commodity. The purpose of this paper is to investigate this common belief in a general arbitrage‐free semimartingale financial model with trading in futures and a short selling prohibition on the spot commodity. We show via various examples that, in general, this common belief is incorrect. Furthermore, we provide a set of sufficient conditions, albeit very restrictive, under which the common belief is true.     

Hedging performance of shrimp futures contracts with multiple deliverable grades

The performance of the black tiger and white shrimp futures contracts traded in the Minneapolis Grain Exchange (MGE) is considered. These two futures contracts have suffered low trader participation[fn100] since their inception despite the underlying multibillion-dollar cash shrimp market. The article tries to find answers for such lack of interest in the context of the multiple deliverable category character of both contracts. In particular, the hedging effectiveness and the adequacy of the premiums/discounts are measured for the various shrimp size categories traded in each contract. The analyses indicate that the hedging effectiveness of both contracts is relatively modest. Part of the explanation for the performance of the contracts resides in high deliverable category exchange option values, which stem from volatility in the price differentials between size categories. The fixed premiums/discounts are not able to provide a remedy to the alternation in the cheapest to deliver category. There is also a liquidity problem that could result from the peculiarities of seafood trade. It is concluded that the lack of trader interest may be influenced by initial high deliverable category exchange option values. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 957–990, 1999     

Niedrigzinsen bei Bausparkassen — ein Urteil des Bundesgerichtshofs

At the end of February 2017 the Federal High Court of Justice rules that building societies are allowed to terminate old contracts ahead of schedule. A lot of old contracts are problematic in the viewpoint of building societies due to high deposit interest rates. High deposit interest rates are dangerous for building societies in times of low interest rates, especially if low interest rates are long-lasting. The Federal High Court of Justice follows the opinion of the building societies that during saving periods, building societies can be seen as borrowers, and borrowers have the (exceptional) right to terminate contracts after ten years, which is established in the German Civil Law. A microeconomic intertemporal consumption model calculates this as an overreaction byf the Court: Building societies should only be allowed to reduce deposit interest rate to be compensated for non existing loan contracts.