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Title:	The Role of Hedged Futures in Managerial Incentive Contracts
Other Titles:	避險期貨在管理階層誘因契約中之角色
Authors:	胡聯國;洪玉舜 Hu,Len-Kuo;Hung,Yu-Shun
Contributors:	國貿系
Keywords:	避險期貨;誘因風險;誘因契約;代理成本 Hedged futures;Incentive risk;Incentive contract;Agency cost
Date:	2005.01
Issue Date:	2014-11-24 17:08:42 (UTC+8)
Abstract:	本文目的在於設計含有「避險期貨」之誘因契約，以解決代理成本與誘因風險之問題。經由理論模型之推導，得證出股東若能運用「避險期貨」設計誘因契約，可有效解決代理成本之問題，並可減少誘因風險。結果說明在管理者行動可被有效監督之下，完全避險之誘因契約可達到最適風險分攤原則；而在管理者行動無法被完全監督之下，股東需權衡提供誘因契約所伴隨而來之風險成本，其中研究結果說明若股東欲誘使管理者選擇最適之努力程度提升，則在其他條件不變下，其所設計之誘因契約之風險權數亦需相對提高。並且研究結果符合Holmstrom (1979)之分析，說明若股東未將持有股份全數售予管理者，則其最適行動公劣於first-best action。另外，由比較靜態分析發現，當管理者努力之邊際報酬提升，股東會提供更多的誘因以誘使管理者更加努力，而其最適努力程度也的確會提升；當管理者愈趨避風險或面對更多不確定性時，股東應降低其薪酬契約中之風險成本，且管理者之最適努力程度亦會下降。 Constructing from Holmstrom`s (1979) framework and following linear-exponential-normal (LEN) formulation, we design an incentive contract involving "hedged futures" to solve the agency cost problem. The main results show that when the manager`s action can be perfectly inferred, the stockholder can simply pay a fixed payment or elaborately design an achievable risk-free incentive contract, and both contracts can effectively achieve the optimal risk sharing. On the other hand, when the manager`s action cannot be perfectly inferred, the optimal contract trades off benefits from providing incentives with the cost of imposing risk on a risk-averse manager. Further, the higher the optimal level of manager`s effort to motivate, the fewer the optimal hedge ratio required to induce the manager to work harder, ceteris paribus. Besides, consistent with the analysis of Holmstrom (1979), the second-beat action is strictly lesser than the first-best action if the stockholder does not "sell" the whole share to the manager. Also, the results of comparative analysis indicate that when the marginal rate of return increases, the stockholder will provide more incentive to induce the manager to work harder and the optimal level of manager`s effort will rise as well. When the manager is more risk-averse or faces more uncertainty, the stockholder needs to reduce the risk in the compensation contract, such as increasing the hedge ratio, and the optimal level of manager`s effort will decrease as well.
Relation:	會計評論,40,1-29
Data Type:	article
Appears in Collections:	[Department of International Business] Periodical Articles

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