Optimal Executive Compensation when Firm Size Follows Geometric Brownian Motion
研究了一个连续时间代理模型，其中代理人控制公司规模（服从几何布朗运动）的漂移率。公司规模变化产生部分激励，类似于根据代理人的持续支付授予股权。当代理人与投资者同样耐心时，基于业绩的股票授予实现最优合同。模型产生股权回报的杠杆效应，并表明小公司的代理问题更严重。实证证据支持模型。
This paper studies a continuous-time agency model in which the agent controls the drift of the geometric Brownian motion firm size. The changing firm size generates partial incentives, analogous to awarding the agent equity shares according to her continuation payoff. When the agent is as patient as investors, performance-based stock grants implement the optimal contract. Our model generates a leverage effect on the equity returns, and implies that the agency problem is more severe for smaller firms. That the empirical evidence shows that grants compensation are largely based on the CEO's historical performance--rather than current performance--lends support to our model. The Author 2008. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.