Managerial Compensation and Outcome Volatility

时间:2021-11-25         阅读:

光华讲坛——海外名家讲堂第26

主题Managerial Compensation and Outcome Volatility

主讲人韩国亚洲大学特聘教授 Jaeyoung Sung

主持人西南财经大学金融研究院院长 Philip H. Dybvig教授

时间2021年12月3日上午10:40-12:10

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主办单位:金融研究院 国际交流与合作处 科研处

主讲人简介:

Professor Jaeyoung Sung received his Ph.D. from Washington University in St. Louis in 1991. From 1991 to 1997, he was an assistant professor at the School of Finance at the University of Illinois at Chicago, and then as a tenured associate professor from 1997 to 2009. Since 2008, he has been a distinguished professor of finance at the School of Business Administration, Ajou University, Korea. Professor Jaeyoung Sung has published many SSCI or SCI academic papers in the field of economics and finance. He has also published many academic papers in top international economic and financial journals such as Review of Financial Studies, Journal of Economic Theory, RAND Journal of Economics, and Mathematical Finance, etc.

Jaeyoung Sung教授,1991年获得圣路易斯华盛顿大学博士,1991-1997年任伊利诺伊大学芝加哥分校金融学院助理教授,而后1997-2009年任终身副教授,2008年至今为韩国亚洲大学工商管理学院金融特聘教授。曾为多所学校客座教授。在经济金融领域发表几十篇SSCI或SCI学术论文,其中曾在Review of Financial Studies,Journal of Economic Theory, RAND Journal of Economics, Mathematical Finance等国际经济金融顶级期刊发表多篇学术论文。出版4本经济金融类书籍。2007-2008, 2012-至今The Korean Journal of Finance 编委,2011-至今The Korean Journal of Money and Finance 编委。

内容提要:

We present a simple discrete-time version of the continuous-time agency model under the `circular' ambiguity, a form of mean-volatility joint ambiguity uncertainties. The volatility ambiguity introduces twodifferent volatilities: ex-ante perceived, and ex-post realized volatilities. We view the ex-post realized volatility as the sum of the two parts: ex-ante forecast and pure-ambiguity components. Then, the resulting model integrates empirically testable predictions of both risk- and ambiguity-based optimal contracting models: both expected pay and pay-to-performance sensitivity decrease with exante forecast volatility, whereas realized pay increases with realized volatility.

我们在“循环”模糊度下提出了连续时间代理模型的简单离散时间版本,这是一种均值波动联合模糊度不确定性的形式。波动率模糊性引入了两种不同的波动率:事前感知的波动率和事后实现的波动率。我们将事后实现的波动率视为两部分的总和:事前预测和纯模糊部分。然后,所得模型整合了基于风险和模糊性的最优合同模型的经验可测试预测:预期薪酬和薪酬对绩效的敏感性都随着事前预测波动而降低,而实际薪酬随着实际波动而增加。