Information, Asset Pricing, and Corporate Governance

本研究的目的是探讨三个相关的主题， 金融经济学领域。 第一个主题将探讨 对冲策略的影响，如程序化交易， 股票市场的波动。 近年来，股票市场 变得更加不稳定 10月19日， 1987年的崩盘，关于什么可能导致 这增加了波动性。 作者将建立一个理论模型 存在动态套期保值的股票市场均衡 战略和信息不对称，以调查这一点， 波动 第二个主题涉及开发一个理论模型 在存在交易成本和耐久性的情况下的资产定价 消费品。 第三个主题将侧重于开发一个模型， 通过引入生命周期对公司进行控制和治理 注意事项。 目前的许多文献都假设， 股东拥有公司和公司治理的作用 是发展一种机制，使股东财富的价值最大化。 然而，从企业生命周期的角度来看， 设立公司可能希望选择一种治理结构， 这让他以牺牲股东财富为代价获得了更大的控制权。 这项工作将增加我们对投票分配的理解 公司安排中的权利和控制权。 该项目可望作出若干重要贡献。 关于股票市场波动的工作应该提供一个更好的 了解是什么导致金融不稳定加剧 市场的 这反过来又可能建议修改市场策略 规则，以实现更有序的资本市场。 的工作 公司治理应有助于了解合并和 接管行为 生命周期考虑因素的引入可 解释企业家不愿在早期释放控制权的原因。 公司的各个阶段。 在早期阶段，公司可能 不像人们通常认为的那样容易被恶意收购。

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.