问题:Security price informativeness with delegated traders

演讲人:何平清华大学经济治理学院金融系

时间：12月23日（周二）下昼1:30-3:00

所在:新楼214课堂

摘要：We show that exploiting market security price information using a contract to discipline a professional trader can impair price informativeness—a feedback effect due to the externalities in contracting. We endogenize information production, informed trading, and security price informativeness simultaneously, in the context of delegated trading. Principals try to induce their agents to produce private information and to trade on it by designing contracts to monitor and compensate their agent-traders based in part on using market security prices. Delegated traders, with mark-to-market payoffs, have an incentive to coordinate in manipulating the market price. Thus, the optimal contract that utilizes the market price information also affects price informativeness. This feedback effect jointly determines the optimal contract, the propensity of market manipulation and price informativeness.