On optimal security design and financial contract

最优安全设计与金融契约

基本信息

批准号：
17330041
负责人：
OHASHI Kazuhiko
金额：
$ 7.17万
依托单位：
Hitotsubashi University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (B)
财政年份：
2005
资助国家：
日本
起止时间：
2005 至 2006
项目状态：
已结题

项目摘要

In this research project, we investigate several aspects of optimal security design and financial contract empirically and theoretically. First, using the data of publicly placed Japanese ABSs (asset backed securities), we analyze the effect of adverse selection (i.e., sellers/issuers of ABSs have more precise information than buyers/investors) on swap spreads of the ABSs, and find significantly negative relationship between excess subordination by issuers and swap spreads at the issuance. We also investigate the effect of asymmetric information and design of trading system on stock prices by using the data of stock lending fees in Tokyo Stock Exchange, and show that short-sales constraints reduce the adjustment speed of stock prices to negative information.Second, we theoretically analyze several problems in risk sharing through security design (optimal risk transfer, optimal consumption, optimal investment policy, and so on) in the setting where agents have stochastic differential utilities (SDU). We show that the optimal policies are characterized as solutions of forward-backward stochastic differential equations (FBSDE) and obtain the necessary and sufficient conditions for optimal policies. We also analyze the case where timing of risk-transfer is uncertain, and investigate risk transfer in the Knightian economy by using the robust utility maximization method proposed by Hansen and Sargent.In addition, we develop a model to describe stochastic movements of electricity prices and demands, and investigate desirable design of weather derivatives for electricity companies to hedge the risks of uncertain electricity prices and demands. Moreover, as an issue of financial contracting, we survey the relation between fund managers' fee schedule and their incentives, and investigate the relation between capital structures and stock returns to evaluate the benchmark for fund managers' performance measure.

在该研究项目中，我们从经验和理论上从经验和理论上研究了最佳安全设计和金融合同的几个方面。首先，使用公开放置的日本ABS（资产支持证券）的数据，我们分析了不良选择的影响（即，ABS的卖方/发行人比买家/投资者对ABS的交换差异更精确，并发现发行人过度的下属和交换者之间的显着负面关系。我们还通过使用东京证券交易所的股票贷款费用数据来调查不对称信息和交易系统对股票价格的影响，并表明短期限制降低了股票价格的调整速度对负面信息的调整速度。第二，我们从理论上分析了几个通过安全设计，最佳的风险转移，最佳的策略，又设置了良好的风险分配，又有良好的范围），从而在风险上进行了良好的速度，从而在零件上进行了良好的范围，从而实现了良好的范围，因此又有效果，又有效果，又有效果，又有效果，又有效果，又有效果。（SDU）。我们表明，最佳策略的特征是前回向随机微分方程（FBSDE）的解决方案，并获得最佳策略的必要条件。我们还分析了风险转移时间不确定的情况，并通过使用Hansen和Sargent提出的强大效用最大化方法来调查骑士经济中的风险转移。此外，我们开发了一个模型来描述电力价格和需求的随机运动，并为电力公司的天气衍生物设计不可或缺的风险价格，并要求对无效的电力价格和需求量的价格和需求调查。此外，作为财务合同问题，我们调查了基金经理的费用表及其激励措施之间的关系，并调查资本结构和股票收益之间的关系，以评估基金经理绩效措施的基准。