Optimal Compensation and Pay-Performance Sensitivity in a Continuous-Time Principal-Agent Model
研究了风险中性股东与风险厌恶经理之间的最优合同，发现最优薪酬随产出递增但呈凹性，对数效用时线性合同最优，且薪酬绩效敏感性与企业绩效和风险的关系可能非单调。
This paper studies the optimal contract between risk-neutral shareholders and a constant relative risk-aversion manager in a continuous-time model. Several interesting results are obtained. First, the optimal compensation is increasing but concave in output value if the manager is more risk averse than a log-utility manager. Second, when the manager has a log utility, a linear contract is optimal when there is no explicit lower bound on the compensation, and an option contract is optimal when there is an explicit lower bound. Third, optimal effort is stochastic (state dependent). Fourth, consistent with empirical findings and contrary to standard agency theory predictions, the relationship between pay-performance sensitivity and firm performance and that between pay-performance sensitivity and firm risk can be nonmonotonic. This paper was accepted by Wei Xiong, finance.