Information, Asset Pricing, and Corporate Governance

本研究的目的是探讨金融经济学领域的三个相关主题。第一个主题将探讨对冲策略的影响，如程序化交易，对股票市场的波动性。近年来，股票市场变得更加不稳定。这一事实在1987年10月19日的崩盘中得到了戏剧化的体现，关于是什么导致了波动性的增加，人们仍有很大的争论。为了研究这种波动，作者将建立一个动态对冲策略和不对称信息存在下的股票市场均衡理论模型。第二个主题涉及在存在交易成本和耐用消费品的情况下建立资产定价的理论模型。第三个主题将侧重于通过引入生命周期考虑因素来开发公司控制和治理模型。目前的许多文献都假设股东拥有公司，公司治理的作用是建立一种机制，使股东财富的价值最大化。然而，从公司生命周期的角度来看，建立公司的企业家可能希望选择一种以牺牲股东财富为代价给予他更大控制权的治理结构。这项工作将增加我们对公司安排中投票权和控制权分配的理解。这个项目可望作出几项重要贡献。对股市波动的研究应该能让我们更好地理解是什么导致了金融市场不稳定的加剧。这反过来可能会提出修改市场规则的策略，以实现更有序的资本市场。对公司治理的研究应该对并购行为产生有益的见解。生命周期考虑的引入可以解释为什么企业家不愿意在公司的早期阶段释放控制权。在早期阶段，企业面对敌意收购的脆弱性可能比人们普遍认为的要小得多。

The purpose of this research is to investigate three related topics in the area of financial economics. The first topic will explore the impact of hedging strategies, such as programed trading, on the volatility of the stock market. In recent years, the stock market has become much more volatile. This fact was dramatized by the October 19, 1987 crash, and there remains great debate about what may be causing this increased volatility. The author will develop a theoretical model of stock market equilibrium in the presence of dynamic hedging strategies and asymmetric information in order to investigate this volatility. The second topic involves developing a theoretical model of asset pricing in the presence of transactions costs and durable consumption goods. The third topic will focus on developing a model of the control and governance of the corporation by introducing life cycle considerations. Much of the current literature assumes that shareholders own the corporation and the role of corporate governance is to develop a mechanism to maximize the value of stockholder wealth. However, from a corporate life cycle perspective, the entrepreneur who sets up a corporation may desire to choose a governance structure which gives him greater control at the expense of shareholder wealth. This work will increase our understanding of the allocation of voting rights and control in corporate arrangements. This project can be expected to make several important contributions. The work on stock market volatility should provide a better understanding of what is causing increased instability in financial markets. This in turn may suggest strategies for modifying market rules to bring about more orderly capital markets. The work on corporate governance should produce useful insights into merger and takeover behavior. The introduction of life cycle considerations may explain the reluctance of entrepreneurs to release control at early stages of the corporation. At an earlier stage, corporations may be much less vulnerable to hostile takeovers than is commonly thought.