不完整市場下的證券設計與公司治理

Abstract

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.