On optimal security design and financial contract

本研究从实证和理论两个方面对最优证券设计和金融契约进行了研究。首先，使用公开发行的日本ABS（资产支持证券）的数据，我们分析了逆向选择的影响（即，卖方/发行人比买方/投资者对ABS的互换价差有更准确的信息，并且发现发行人的超额次级与发行时的互换价差之间存在显著的负相关关系。本文还利用东京证券交易所的股票出借费数据考察了信息不对称和交易制度设计对股票价格的影响，表明卖空限制降低了股票价格对负信息的调整速度。其次，从理论上分析了通过证券设计分担风险的几个问题（最优风险转移，最优消费，最优投资政策，等等）在设置代理人有随机微分效用（SDU）。我们证明了最优策略的特征在于前向-后向随机微分方程的解，并得到了最优策略的充分必要条件。本文还分析了风险转移时机不确定的情形，并利用汉森和萨金特提出的鲁棒效用最大化方法研究了电力市场中的风险转移，建立了描述电力价格和电力需求随机变动的模型，并研究了电力公司为对冲不确定电力价格和电力需求风险而设计的天气衍生品。此外，作为一个财务契约问题，我们考察了基金经理的费用制度与他们的激励之间的关系，并考察了资本结构与股票收益率之间的关系，以评估基金经理业绩衡量的基准。

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.