财务管理---责任管理模式
- 1. *Principal-agent Modeling 責任代理模式 Dr. Chak-Tong Chau 仇澤棠博士 U.S. Fulbright Professor 中美交流富布萊特教授
- 2. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*我請您們考慮一些問題A small medical insurance scenario 一個醫療保健的問題 When you have a small illness, do you normally see your doctor? 當你有小病的時候，你會不會自費看醫生？ What about, if your firm pay for your expense? 但是，如果是單位付錢呢，那又怎樣？
- 3. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*我請您們考慮一些問題A car maintenance scenario 一個汽車維修的問題 Your car is being rented for 2 months. Supposedly, it needs oiling every month. How likely you will remember to do so? 你的汽車是租來用兩個月的，它需要每月潤滑上油一次。你會不會依時地去上油？ How about if this is your own car? 如果這是你自己的汽車，你又會不會去做？
- 4. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*我請您們考慮一些問題A medical insurance problem 自費醫療保險的問題 When we purchase medical insurance, the insurance company usually requires that you disclose your medical history. Pre-conditions are usually excluded from the coverage. 購買保險的時候，它們通常要求你列出你的病歷。但是如果你有大病的話，很可能保險公司不愿意受保。
- 5. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*我請您們考慮一些問題 If you do in fact have some major medical problems that require expensive treatments, would you disclose these problems? 如果你真的有大病, 你會不會真實地上報？ What do all these tell us about certain human behavior? 這些問題表明了一些什么的人性行為？
- 6. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Agency Problems and Behavior 代理人的行為与問題A moral hazard problem (道德危机問題) when an individual has an incentive to deviate from the contract and take self-interested actions because the other party has insufficient information to know if the contract was honored. 醫療保健 雖然我知道我与雇主的契約明确列出我不要浪費公司的資源。但是用公司的好過用我的嘛！而且公司又不會知道我未能遵守契約。
- 7. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Agency Problems and Behavior 代理人的行為与問題A horizon problem 水平界線問題 If one party’s risk or compensation is not the same as the other party’s, the one with a shorter horizon will tend to secretly maximize the short-term benefits, at the expense of the other longer-term party. 汽車維修 我明白汽車不維修壽命不會長。但是，兩個月以后這車子變成怎么樣与我無關了吧。
- 8. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Agency Problems and Behavior 代理人的行為与問題An adverse selection problem 逆向選擇問題 The tendency of individuals with private information about something that affects a potential trading partner’s benefits to make offers that are detrimental to the trading partner. 自費醫療保險:雖然我知道保險公司需要知道我的病歷從而決定保險費。但是誠實的代价是較高的費用。此外，我不說，誰知道。
- 9. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*誰是代理人？什么是代理成本？An agent is someone who has certain special expertise that is desired by the principal to use for his/her benefits. The agent is usually risk adverse, has decision rights to manage, but does not own, the organization’s assets. 代理人(agent) 是任何人在公司有決策權力，但是并非產權的最終所有者。代理人通常有較佳的專長，更好的資訊，和對風險抱保守的態度(risk adverse)。
- 10. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*誰是代理人？什么是代理成本？There are three (3) types of agency costs. 代理成本有三類： 設計限制性契約的成本 (bonding costs) 建立監督制度的成本 (monitoring costs) 剩餘的損耗 (residual loss) Note that some costs are bornt by the principal but some are bornt by the agent. 注意的是，有時這些成本是由委托人(principal)負擔。不過有時這些成本是由代理人自己負擔的。
- 11. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Agency CostsBonding costs – costs incurred, before entering the contract, to convince the principal that such agency relationship will not result in the above-mentioned agency problems. Examples are: reputation building, 3rd party guarantor, etc.
- 12. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Agency CostsMonitoring costs – costs incurred, after entering the contract, to ensure that such agency problems will not arise. Examples include auditing and inspection costs.
- 13. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Agency CostsResidual loss – loss unavoidably arise, despite the bonding and monitoring costs, the contract still cannot yield the utmost benefits, because: the agency problems do arise, or due to the suspicion of the agency problems, the principal refuses to pay the agent compensations that fully reflect his/her efforts.
- 14. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Examples of the Principal-agent ModelEffort levelProbabilities and payoffs for 4 different eventsS1=0.3S2=0.3S3=0.2S4=0.2E1=6$55,000$55,000$55,000$40,000E2=5$55,000$55,000$40,000$40,000E3=4$55,000$40,000$40,000$40,000
- 15. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Examples of the Principal-agent ModelAgent’s Utility Function: Xa½ - e2 100 where: Xa = agent’s compensations e = the effort level used by the agent Question 1: If you were the principal in entering the contract, which level of effort (e1, e2, or e3) would you demand?Question 2: If you, the principal, can closely monitor and observe the agent at all time, what are the amount and condition of payment? And, what is the expected payoff for the principal?
- 16. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Now, let’s assume that you cannot monitor and observe the agent directly. What would you, as the agent, do?Now, can you see the agency problems here?Effort levelExpected utility of the agentE1=618,496½ - 62 =100E2=518,496½ - 52 =111E3=418,496½ - 42 =112Is it likely to have the “adverse selection” problem?How about the “moral hazard” problem?And, the horizon problem? Residual loss?
- 17. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*What can we say, up to this point?Under condition of unobservability (incomplete information), fixed payments to agents (i.e. workers, employees) most likely do not work. What are then the alternatives? We can give the principal a fixed payment instead. Or, we can come up with an “incentive compatible” conditional contract.
- 18. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Fixed Payment to the PrincipalConsider this new contract under which the principal gets $32,750 no matter what happens and the agent keeps the rest. Will this work? Effort levelExpected payoff to the agentE1=6[(55,000½x0.8+40,000½x0.2)-32,750]-36=100.36E2=5[(55,000½x0.6+40,000½x0.4)-32,750]-25=98.56E3=4[(55,000½x0.3+40,000½x0.7)-32,750]-16=88.35
- 19. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Fixed Payment to the PrincipalThus, numerically this will work to ensure that the agent gives the highest effort. However, there is nonetheless a loss to the principal (33,504-32,750)=754 which is in a sense a monitoring cost (maximum cost to pay for an information system to reveal the agent’s effort level). But the most fundamental problem is that this type of contracts violates the “risk adverse” nature of the agent. Now the agent becomes the principal!
- 20. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Incentive Compatible Contract – Problem SetupMaximize (55,000 – R55)Φ55(e1) + (40,000-R40)Φ40 (e1)Subject to:R55½Φ55(e1) + R40½Φ40(e1) - e12 = 100 R55½Φ55(e1) + R40½Φ40(e1) - e12 R55½Φ55(e2) + R40½Φ40(e2) – e22R55½Φ55(e1) + R40½Φ40(e1) - e12 R55½Φ55(e3) + R40½Φ40(e3) – e32
- 21. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Incentive Compatible Contract – Specific SolutionsMaximize (55,000 – R55)0.8 + (40,000-R40)0.2Subject to:R55½(0.8) + R40½(0.2) - 36 = 100 R55½(0.8) + R40½(0.2) - 36 R55½(0.6) + R40½Φ40(0.4) – 25R55½(0.8) + R40½(0.2) - 36 R55½(0.3) + R40½(0.7) – 16Solutions: R55 = 21,609 R40 = 8,464 Expected payoffs: Principal = 33,020 Agent = 18,980
- 22. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Summary of Different ContractsEvent under e1Principal’s PayoffsAgent’s PayoffObservableFixed Rent to Prin.Incentive Compat.ObservableFixed Rent to Prin.Incentive Compat.55,000 (p=0.8)36,50432,75033,39118,49622,25021,609 40,000 (p=0.2)21,50432,75031,53618,4967,2508,464Expected Payoffs33,50432,75033,02018,49619,25018,980
- 23. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*What do we know from these?The best case scenario for the principal is when he can observe the agent’s effort level directly. The worst case scenario to the principal appears to be simply charging a fixed rent. The difference between the two ($754) represents the maximum amount to pay for an information system to reveal the agent’s effort. The middle, 2nd best solution (incentive compatible contract) may not always be the next best thing though!
- 24. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Let’s say that we set the two variables, R55 and R40, to be 18,769 and 11,449 respectively.Effort levelExpected utility of the agentE1=6(18,769½)0.8+(11,449½)0.2-6½ =95E2=5(18,769½)0.6+(11,449½)0.4-5½ =100E3=4(18,769½)0.3+(11,449½)0.7-4½ =100Now, the principal is telling the agent NOT to work hard!The $33,159 is actually better than the $33,020 under “incentive compatible” contract!Effort levelExpected utility of the principalE1=6Not a feasible solution, agent’s utility < 100n/aE2=5(55,000-18,769)0.6+(40,000-11,449)0.4 =33,159E3=4(55,000-18,769)0.3+(40,000-11,449)0.7 =30,855
- 25. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*A Few Cautionary RemarksThis model presented here is a single-period model. Multiple-period (repeated games) can give very different answers. There can be multiple principals as well as multiple agents in the model. Such models, however, become extremely complex. Information systems are not considered here.
- 26. Dr. Chak-Tong ChauFulbright Guest Lecture Materials*Concluding RemarksThe Principal-agent model is theoretical elegant but mathematically tedious to use. Empirical (real-life) evidence seems to support the model well. The challenges, in my opinion, include: to come up with useful, testable hypotheses; to extend the model to more complex, but real business situations; to encourage researchers to teach newcomers the basic skill in understanding the model rather than simply to publish in “ivory-tower” type of journals.
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