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Agency conflicts, investment, and asset management / Rui Albuquerque, Neng Wang

Author
Albuquerque, Rui
Published
Cambridge, Mass. : National Bureau of Economic Research, [2007]
Copyright Date
©2007
Physical Description
70 pages : illustrations ; 22 cm.
Additional Creators
Wang, Neng and National Bureau of Economic Research
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Summary
The separation of ownership and control allows controlling shareholders to pursue private benefits. We develop an analytically tractable dynamic stochastic general equilibrium model to study asset pricing and welfare implications of imperfect investor protection. Consistent with empirical evidence, the model predicts that countries with weaker investor protection have more incentives to overinvest, lower Tobin's q, higher return volatility, larger risk premium, and higher interest rate. Calibrating the model to the Korean economy reveals that perfecting investor protection increases the stock market's value by 22 percent, a gain for which outside shareholders are willing to pay 11 percent of their capital stock.
Subject(s)
Note
"July 2007."
Bibliography Note
Includes bibliographical references.
Other Forms
Also available in PDF from the NBER world wide web site (www.nber.org).
View MARC record | catkey: 3933307