Contracting on Credit Ratings: Adding Value to Public Information
研究了投资者与投资组合经理之间合约不完全时信用评级的作用，发现最优合约在评级和价格预示低状态时采取禁止性措施，否则依赖薪酬激励。
Abstract We consider the role of credit ratings when contracts between investors and portfolio managers are incomplete. In our model, a credit rating and a price on a risky bond both provide verifiable signals about a non-contractible state. We allow the investor to both impose ex ante restrictions on the manager’s action and provide outcome-based compensation. The optimal contract is a prohibitive one when the rating and price indicate a high likelihood of a low state, and relies on wages when the low state is less likely. We provide some observable implications of our contracting approach to ratings.