机构投资者激励合同对资产价格的影响机制研究

投资主体机构化，中介资产定价成为金融学的研究前沿之一。激励合同是机构影响资产价格最重要的因素，因为合同决定机构的投资行为，该行为进一步影响均衡价格。与现有研究不同，本项目将合同与资产价格作为模型的内生变量，从微观层面研究机构投资者激励合同对资产价格的影响机制。假设管理者的报酬是投资业绩的线性函数，构建动态委托代理和资产定价模型，分别在是否存在代理摩擦的情况下求解最优合同与资产价格，分析两者的相互作用，进而探讨合同对资产价格的影响机制；将投资收益的风险项引入合同，在非线性合同下，探讨合同与资产价格的关系；对模型进行扩展，分析隐性激励对最优合同与资产价格相互作用的影响；考虑机构投资管理的实践，探讨投资组合约束如何影响激励合同与资产价格的关系。研究成果在理论上进一步丰富和拓展契约理论和资产定价理论，实践中将为机构激励合同设计、识别金融市场风险源及加强我国机构投资监管和提高监管水平提供参考。

Institutional investors account for a majority of the transactions and trading volume, and intermediary asset pricing is one of the frontiers of finance research. The incentive contract is the most important factor for the institution to influence the asset price, because the contract determines the investment behavior of the institution, which further affects the equilibrium price. Different from the existing research, this project regards contract and asset price as endogenous variables of the model, and studies the impact mechanism of institutional incentive contracts on asset prices from the micro level. Assuming that managers' compensation is a linear function of investment performance, a dynamic principal-agent model and asset pricing model are constructed to solve the optimal contract and asset price respectively in the presence or absence of agency friction. This study analysis interaction between contract and asset price, and then discuss the influence mechanism of contract on asset price. The risk item of investment income is introduced into the contract, and the contract and asset price are discussed under the non-linear contract. This paper extends the model to analyze the influence of implicit incentive on the interaction between optimal contract and asset price, and discusses how portfolio constraints affect the relationship between incentive contract and asset price considering the practice of institutional investment management. The research results will further enrich and expand the contract theory and asset pricing theory in theory. In practice, it will provide reference for the design of institutional incentive contracts, the identification of financial market risk sources, the strengthening of institutional investment supervision and the improvement of regulatory level in China.