Uncertainty, investment, and managerial incentives

被引：34
|
作者：
Glover, Brent [1 ]
Levine, Oliver [2 ]
机构：
[1] Carnegie Mellon Univ, Tepper Sch Business, Pittsburgh, PA 15213 USA
[2] Univ Wisconsin, Finance, Dept Finance, Wisconsin Sch Business, Madison, WI 53706 USA
来源：
JOURNAL OF MONETARY ECONOMICS | 2015年 / 69卷
关键词：
Corporate investment; Uncertainty; Agency conflicts; Executive compensation; Idiosyncratic volatility;
D O I：
10.1016/j.jmoneco.2014.11.004
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study provides evidence that managerial incentives, shaped by compensation contracts, help to explain the empirical relationship between uncertainty and investment. We develop a model in which the manager, compensated with an equity-based contract, makes investment decisions for a firm that faces time-varying volatility. The contract creates incentives that affect both the sign and magnitude of a manager's optimal response to volatility shocks. The model is calibrated using compensation data to quantify this predicted investment response for a large panel of firms. Our estimates help explain the variation in firm-level investment responses to volatility shocks observed in the data. (C) 2014 Elsevier B.V. All rights reserved.
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页码：121 / 137
页数：17
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