财务管理教材Principal-agentModeling.ppt

1 Principal agentModeling責任代理模式 Dr Chak TongChau仇澤棠博士U S FulbrightProfessor中美交流富布萊特教授 Dr Chak TongChau FulbrightGuestLectureMaterials 2 我請您們考慮一些問題 Asmallmedicalinsurancescenario一個醫療保健的問題Whenyouhaveasmallillness doyounormallyseeyourdoctor 當你有小病的時候 你會不會自費看醫生 Whatabout ifyourfirmpayforyourexpense 但是 如果是單位付錢呢 那又怎樣 Dr Chak TongChau FulbrightGuestLectureMaterials 3 我請您們考慮一些問題 Acarmaintenancescenario一個汽車維修的問題Yourcarisbeingrentedfor2months Supposedly itneedsoilingeverymonth Howlikelyyouwillremembertodoso 你的汽車是租來用兩個月的 它需要每月潤滑上油一次 你會不會依時地去上油 Howaboutifthisisyourowncar 如果這是你自己的汽車 你又會不會去做 Dr Chak TongChau FulbrightGuestLectureMaterials 4 我請您們考慮一些問題 Amedicalinsuranceproblem自費醫療保險的問題Whenwepurchasemedicalinsurance theinsurancecompanyusuallyrequiresthatyoudiscloseyourmedicalhistory Pre conditionsareusuallyexcludedfromthecoverage 購買保險的時候 它們通常要求你列出你的病歷 但是如果你有大病的話 很可能保險公司不愿意受保 Dr Chak TongChau FulbrightGuestLectureMaterials 5 我請您們考慮一些問題 Ifyoudoinfacthavesomemajormedicalproblemsthatrequireexpensivetreatments wouldyoudisclosetheseproblems 如果你真的有大病 你會不會真實地上報 Whatdoallthesetellusaboutcertainhumanbehavior 這些問題表明了一些什么的人性行為 Dr Chak TongChau FulbrightGuestLectureMaterials 6 AgencyProblemsandBehavior代理人的行為与問題 Amoralhazardproblem 道德危机問題 whenanindividualhasanincentivetodeviatefromthecontractandtakeself interestedactionsbecausetheotherpartyhasinsufficientinformationtoknowifthecontractwashonored 醫療保健雖然我知道我与雇主的契約明确列出我不要浪費公司的資源 但是用公司的好過用我的嘛 而且公司又不會知道我未能遵守契約 Dr Chak TongChau FulbrightGuestLectureMaterials 7 AgencyProblemsandBehavior代理人的行為与問題 Ahorizonproblem水平界線問題Ifoneparty sriskorcompensationisnotthesameastheotherparty s theonewithashorterhorizonwilltendtosecretlymaximizetheshort termbenefits attheexpenseoftheotherlonger termparty 汽車維修我明白汽車不維修壽命不會長 但是 兩個月以后這車子變成怎么樣与我無關了吧 Dr Chak TongChau FulbrightGuestLectureMaterials 8 AgencyProblemsandBehavior代理人的行為与問題 Anadverseselectionproblem逆向選擇問題Thetendencyofindividualswithprivateinformationaboutsomethingthataffectsapotentialtradingpartner sbenefitstomakeoffersthataredetrimentaltothetradingpartner 自費醫療保險 雖然我知道保險公司需要知道我的病歷從而決定保險費 但是誠實的代价是較高的費用 此外 我不說 誰知道 Dr Chak TongChau FulbrightGuestLectureMaterials 9 誰是代理人 什么是代理成本 Anagentissomeonewhohascertainspecialexpertisethatisdesiredbytheprincipaltouseforhis herbenefits Theagentisusuallyriskadverse hasdecisionrightstomanage butdoesnotown theorganization sassets 代理人 agent 是任何人在公司有決策權力 但是并非產權的最終所有者 代理人通常有較佳的專長 更好的資訊 和對風險抱保守的態度 riskadverse Dr Chak TongChau FulbrightGuestLectureMaterials 10 誰是代理人 什么是代理成本 Therearethree 3 typesofagencycosts 代理成本有三類 設計限制性契約的成本 bondingcosts 建立監督制度的成本 monitoringcosts 剩餘的損耗 residualloss Notethatsomecostsareborntbytheprincipalbutsomeareborntbytheagent 注意的是 有時這些成本是由委托人 principal 負擔 不過有時這些成本是由代理人自己負擔的 Dr Chak TongChau FulbrightGuestLectureMaterials 11 AgencyCosts Bondingcosts costsincurred beforeenteringthecontract toconvincetheprincipalthatsuchagencyrelationshipwillnotresultintheabove mentionedagencyproblems Examplesare reputationbuilding 3rdpartyguarantor etc Dr Chak TongChau FulbrightGuestLectureMaterials 12 AgencyCosts Monitoringcosts costsincurred afterenteringthecontract toensurethatsuchagencyproblemswillnotarise Examplesincludeauditingandinspectioncosts Dr Chak TongChau FulbrightGuestLectureMaterials 13 AgencyCosts Residualloss lossunavoidablyarise despitethebondingandmonitoringcosts thecontractstillcannotyieldtheutmostbenefits because theagencyproblemsdoarise orduetothesuspicionoftheagencyproblems theprincipalrefusestopaytheagentcompensationsthatfullyreflecthis herefforts Dr Chak TongChau FulbrightGuestLectureMaterials 14 ExamplesofthePrincipal agentModel Dr Chak TongChau FulbrightGuestLectureMaterials 15 ExamplesofthePrincipal agentModel Agent sUtilityFunction Xa e2 100where Xa agent scompensationse theeffortlevelusedbytheagent Question1 Ifyouweretheprincipalinenteringthecontract whichlevelofeffort e1 e2 ore3 wouldyoudemand Question2 Ifyou theprincipal cancloselymonitorandobservetheagentatalltime whataretheamountandconditionofpayment And whatistheexpectedpayofffortheprincipal Dr Chak TongChau FulbrightGuestLectureMaterials 16 Now let sassumethatyoucannotmonitorandobservetheagentdirectly Whatwouldyou astheagent do Now canyouseetheagencyproblemshere Isitlikelytohavethe adverseselection problem Howaboutthe moralhazard problem And thehorizonproblem Residualloss Dr Chak TongChau FulbrightGuestLectureMaterials 17 Whatcanwesay uptothispoint Underconditionofunobservability incompleteinformation fixedpaymentstoagents i e workers employees mostlikelydonotwork Whatarethenthealternatives Wecangivetheprincipalafixedpaymentinstead Or wecancomeupwithan incentivecompatible conditionalcontract Dr Chak TongChau FulbrightGuestLectureMaterials 18 FixedPaymenttothePrincipal Considerthisnewcontractunderwhichtheprincipalgets 32 750nomatterwhathappensandtheagentkeepstherest Willthiswork Dr Chak TongChau FulbrightGuestLectureMaterials 19 FixedPaymenttothePrincipal Thus numericallythiswillworktoensurethattheagentgivesthehighesteffort However thereisnonethelessalosstotheprincipal 33 504 32 750 754whichisinasenseamonitoringcost maximumcosttopayforaninformationsystemtorevealtheagent seffortlevel Butthemostfundamentalproblemisthatthistypeofcontractsviolatesthe riskadverse natureoftheagent Nowtheagentbecomestheprincipal Dr Chak TongChau FulbrightGuestLectureMaterials 20 IncentiveCompatibleContract ProblemSetup Maximize 55 000 R55 55 e1 40 000 R40 40 e1 Subjectto R55 55 e1 R40 40 e1 e12 100 R55 55 e1 R40 40 e1 e12 R55 55 e2 R40 40 e2 e22 R55 55 e1 R40 40 e1 e12 R55 55 e3 R40 40 e3 e32 Dr Chak TongChau FulbrightGuestLectureMaterials 21 IncentiveCompatibleContract SpecificSolutions Maximize 55 000 R55 0 8 40 000 R40 0 2 Subjectto R55 0 8 R40 0 2 36 100 R55 0 8 R40 0 2 36 R55 0 6 R40 40 0 4 25 R55 0 8 R40 0 2 36 R55 0 3 R40 0 7 16 Solutions R55 21 609R40 8 464Expectedpayoffs Principal 33 020Agent 18 980 Dr Chak TongChau FulbrightGuestLectureMaterials 22 SummaryofDifferentContracts Dr Chak TongChau FulbrightGuestLectureMaterials 23 Whatdoweknowfromthese Thebestcasescenariofortheprincipaliswhenhecanobservetheagent seffortleveldirectly Theworstcasescenariototheprincipalappearstobesimplychargingafixedrent Thedifferencebetweenthetwo 754 representsthemaximumamounttopayforaninformationsystemtorevealtheagent seffort Themiddle 2ndbestsolution incentivecompatiblecontract maynotalwaysbethenextbestthingthough Dr Chak TongChau FulbrightGuestLectureMaterials 24 Let ssaythatwesetthetwovariables R55andR40 tobe18 769and11 449respectively Now theprincipalistellingtheagentNOTtoworkhard The 33 159isactuallybetterthanthe 33 020under incentivecompatible contract Dr Chak TongChau FulbrightGuestLe