通胀对高管的股权激励和工作努力策略的影响

doi:10.16381/j.cnki.issn1003-207x.2018.0741

中国管理科学 ›› 2020, Vol. 28 ›› Issue (11): 1-11.doi: 10.16381/j.cnki.issn1003-207x.2018.0741

• 论文 • 下一篇

通胀对高管的股权激励和工作努力策略的影响

费为银¹, 张繁红^1,3, 杨晓光²

1. 安徽工程大学数理与金融学院, 安徽芜湖 241000;
2. 中国科学院数学与系统科学研究院, 北京 100190;
3. 上海财经大学数学学院, 上海 200433

收稿日期:2018-05-28 修回日期:2019-06-24 出版日期:2020-11-20 发布日期:2020-12-01
通讯作者: 费为银(1963-),男(汉族),安徽芜湖人,安徽工程大学数理与金融学院,教授,博士生导师,研究方向:金融数学与金融工程,E-mail:wyfei@ahpu.edu.cn. E-mail:wyfei@ahpu.edu.cn.
基金资助:
国家自然科学基金资助项目（71571001）；安徽省自然科学基金资助项目（1608085MA02）

The Impact of Inflation on Executive's Equity Incentive and Work Effort

FEI Wei-yin¹, ZHANG Fan-hong^1,3, YANG Xiao-guang²

1. School of Mathematics and Physics, Anhui Polytechnic University, Wuhu 241000, China;
2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China;
3. School of Mathematics, Shanghai University of Finauce and Economics, Shanghai 200433, China

Received:2018-05-28 Revised:2019-06-24 Online:2020-11-20 Published:2020-12-01

摘要/Abstract

摘要： 股权激励能够使得公司与高管的共同利益最大化，并且解决由于信息不对称所产生的委托代理问题。高管不可观测的工作控制着公司股票价格。由于高管的真实财富受到市场通胀不确定性的影响，本文研究了通胀环境下，以风险厌恶和工作努力效率为特质的高管，在银行无风险资产账户、市场投资组合和公司股票间寻求最优配置以达到个人终端真实财富预期效用最大化。首先利用伊藤公式得到了高管的真实财富过程；其次利用动态规划原理构建了满足最优工作努力策略和股权激励问题的哈密尔顿-雅可比-贝尔曼（HJB）方程，并找到了解析解；最后对结果进行了数值模拟，并从经济学的角度分析了通胀风险对高管的股权激励和工作努力策略的影响。本文研究表明：由于通胀不确定性影响着高管财富的实际价值，当高管财富效用服从对数函数时，公司股票占高管个人财富的最优比例不受通胀风险影响，但是高管在市场投资组合的投资比例随通胀波动率的增加而下降，进而影响到高管对市场投资组合账户和银行无风险资产账户的投资比例。高管的财富效用服从幂函数时，对于长期契约，股权激励代表的长远共同利益引导着高管看好公司的发展前景，激励着高管付出更高水平的努力，此时通胀带来的货币贬值风险对高管的的影响较小；而对于短期契约，长远共同利益的缺乏和通胀风险的变大诱导着高管的短视行为，高管将减持公司股票并且减少努力。本文所得结论对公司的股权激励理论做了有益的补充。

关键词: 通货膨胀, 投资组合, 工作努力, 股权激励, 动态规划

Abstract: Equity incentive can make the interests of companies and executives converge and solve the principal-agent problem between companies and executives to a large extent. An executive, characterized by risk aversion and hard work efficiency, can affect the company stock prices through the work-effort strategies. Incorporating inflation uncertainty into the model, it is considered that an executive invests his assets in the risk-free asset, the market portfolio, and own-company stocks for the aim of maximizing his expected utility of the terminal real wealth. First, the dynamic equation of the real wealth process is obtained by using the Itô formula. Secondly, the dynamic programming principle is used to establish the HJB equation of the real value function of the executive's optimal decision. Moreover, the analytical solutions of the HJB equation are found. Finally, the impact of inflation risk on the executive equity-based incentives and work-effort strategies are given by numerical simulations. The research in this paper shows that:in the case of exponential utility, for the long-term contracts, since equity incentive can bring long-term interests to executive, the executive can improve the level of effort and will increase the rate of the stake in personal wealth. Moreover, in this case, the executive is optimistic about the company's prospects. The inflation risks has little effect on executive optimal effort level and the proportion of stake in personal wealth. For the short-term contracts, due to the lack of long-term common interests, when the inflation risk increases, the optimal effort level of executive and the shareholding ratio of personal wealth will decline gradually.

Key words: inflation, portfolio, work effort, equity incentives, dynamic programming

中图分类号:

F224.0

费为银, 张繁红, 杨晓光. 通胀对高管的股权激励和工作努力策略的影响[J]. 中国管理科学, 2020, 28(11): 1-11.

FEI Wei-yin, ZHANG Fan-hong, YANG Xiao-guang. The Impact of Inflation on Executive's Equity Incentive and Work Effort[J]. Chinese Journal of Management Science, 2020, 28(11): 1-11.

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通胀对高管的股权激励和工作努力策略的影响

The Impact of Inflation on Executive's Equity Incentive and Work Effort

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