An Equilibrium Model of Asset Pricing and Moral Hazard
构建了一个资产定价与道德风险的综合模型，发现股票预期美元回报独立于管理层激励和特质风险，但均衡价格受其影响，进而预期回报率通过系统性风险间接受这些因素影响。
This article develops an integrated model of asset pricing and moral hazard. It is demonstrated that the expected dollar return of a stock is independent of managerial incentives and idiosyncratic risk, but the equilibrium price of the stock depends on them. Thus, the expected rate of return is affected by managerial incentives and idiosyncratic risk. It is shown, however, that managerial incentives and idiosyncratic risk affect the expected rate of return through their influence on systematic risk rather than serve as independent risk factors. It is also shown that the risk aversion of the principal in the model leads to less emphasis on relative performance evaluation than in a model with a risk-neutral principal. Copyright 2005, Oxford University Press.