| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19619 |
| 来源ID | Working Paper 19619 |
| Moral Hazard, Informed Trading, and Stock Prices | |
| Pierre Collin-Dufresne; Vyacheslav Fos | |
| 发表日期 | 2013-11-07 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We analyze a model of informed trading where an activist shareholder accumulates shares in an anonymous market and then expends costly effort to increase the firm value. We find that equilibrium prices are affected by the position accumulated by the activist, because the level of effort undertaken is increasing in the size of his acquired position. In equilibrium, price impact has two components: one due to asymmetric information (as in the seminal Kyle (1985) model) and one due to moral hazard (a new source of illiquidity). Price impact is higher the more severe the moral hazard problem, which corresponds to a more productive activist. We thus obtain a trade-off: with more noise trading (less `price efficiency') the activist can build up a larger stake, which leads to more effort expenditure and higher firm value (more `economic efficiency'). |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Corporate Finance |
| URL | https://www.nber.org/papers/w19619 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577294 |
| 推荐引用方式 GB/T 7714 | Pierre Collin-Dufresne,Vyacheslav Fos. Moral Hazard, Informed Trading, and Stock Prices. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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