Moral Hazard and Adverse Selection: The Question of Financial Structure
Moral Hazard and Adverse Selection: The Question of Financial Structure
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道德风险与逆向选择：金融结构问题
DOI：
10.1111/j.1540-6261.1986.tb05051.x
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发表时间：
1986
影响因子：
8
通讯作者：
N. Stoughton
中科院分区：
文献类型：
--
作者：
M. Darrough;N. Stoughton
本文研究了在不知情但竞争激烈的金融市场上发行证券的企业家所面临的道德风险和逆向选择问题。问题的逆向选择方面是由不可观察的企业家将努力转化为价值的能力产生的。道德风险的产生是因为投资决策是在融资之后做出的。我们考虑了债务和股权的联合使用，并描述了资本结构与不可观察属性之间的均衡关系。研究表明：(1)投融资不可分离；(2)“较好”企业存在投资不足问题；(3)同时使用债权和股权可以解决这一困难。我们还建立了预期终端公司价值与债务承诺支付水平之间的联系，以及股票保留与标准差之间的联系。公司财务中的代理问题起源于詹森和梅kling bbb，迈尔斯bbb，罗斯bbb和利兰-派尔bbb的有影响力的论文。他们表明，由不可观察的行为、缺乏契约能力和信息不对称引起的市场不完善通常会导致次优结果，在这种情况下，企业所有权的分配只有在付出巨大成本的情况下才能实现。这些成本表现为过度的在职消费、过度投资、投资不足和个人投资组合的不完全多样化。道德风险和逆向选择是代理问题可能形成的两种形式。Arrow[1]将这两个术语分别等同于隐藏动作和隐藏信息。当代理人所采取的行动是不可观察的，并且与委托人相比对代理人具有不同的价值时，道德风险就产生了。当代理人比委托人拥有更多的信息时，逆向选择问题就出现了。在许多情况下，通过信号和偶然的合同机制探讨了解决这些困难的方法。这些定义排除了委托文献中的某些代理问题，其中偏好不一致是由于缺乏预先承诺而不是模型的某些外生特征造成的。因此，在公司金融领域，人们会认为Jensen-Meckling论文存在道德风险，因为特权进入内部目标的方式与外部目标不同，而* Darrough来自哥伦比亚大学，Stoughton来自加州大学欧文分校。第二作者的研究得到了加拿大社会科学与人文研究理事会资助项目编号410-83-0786 R-1的部分资助。本文于1984年在温哥华举行的西方金融协会会议和1985年在伯尔尼举行的欧洲金融协会会议上发表。我们感谢科斯·约翰和弗朗斯·坦佩拉尔在会议上的发言。
This paper looks at the moral hazard and adverse selection problems confronting an entrepreneur offering securities to an uninformed, but competitive financial market. The adverse selection aspect of the problem is generated by the unobservable entrepreneur's ability to transform effort into value. Moral hazard arises because the investment decision is made subsequent to financing. We consider the joint use of both debt and equity, and characterize the equilibrium relation between capital structure and unobservable attributes. It is shown that: (1) investment and financing are not separable; (2) there is an underinvestment problem for "better" firms; and (3) simultaneous use of both debt and equity can resolve this difficulty. We also establish a connection between expected terminal firm value and debt-promised payment level and between share retention and standard deviation. AGENCY PROBLEMS IN CORPORATE finance originated with the influential papers of Jensen and Meckling [11], Myers [17], Ross [21], and Leland-Pyle [14]. They show that the market imperfections induced by unobservable actions, lack of contracting ability, and information asymmetry generally lead to second-best outcomes in which the distribution of corporate ownership is achieved only at significant cost. These costs take the form of excessive perquisite consumption, overinvestment, underinvestment, and incomplete diversification of personal investment portfolios. Moral hazard and adverse selection comprise two forms in which agency problems may take shape. Arrow [1] equates these two terms with hidden action and hidden information, respectively. Moral hazard arises when the action undertaken by the agent is unobservable and has a differential value to the agent as compared to the principal. Adverse selection problems arise when the agent has more information than the principal. The resolution of such difficulties has been explored in a number of contexts with both signals and contingent contracting mechanisms. These definitions exclude certain agency problems in the delegation literature for which the preference incongruity results from a lack of precommitment rather than some exogenous feature of the model. In corporate finance, one would thus identify the Jensen-Meckling paper with moral hazard because perquisites enter the insider's objective differently from outsiders, while * Darrough is from Columbia University and Stoughton is from the University of California, Irvine. The second author's research was partially supported by Grant Number 410-83-0786 R-1 from the Social Sciences and Humanities Research Council of Canada. This paper was presented at the 1984 meetings of the Western Finance Association in Vancouver and at the 1985 European Finance Association meetings in Bern. We thank Kose John and Frans Tempelaar for their comments at the meetings.