【作者】 张帅；

【导师】 黄少安；

【作者基本信息】 山东大学 ， 金融学， 2017， 博士

【副题名】在金融市场上的应用

【摘要】 在金融市场上,由于分工越来越细化,导致越来越多的委托代理关系出现,例如证券和股票经纪人制度、机构投资者的壮大、投资经理的出现。然而,由于信息的不对称,金融市场上也不可避免的出现了大量的逆向选择和道德风险问题,例如职业经纪人违规操作以获得更高的收益、机构投资人和投资经理为了实现自己的利益而进行非理性投资等等。在大量的委托代理关系出现的同时,共同代理关系也呈现一种"雨后春笋"的态势,这足因为在金融市场上代理人的数量总是远远小于委托人的数量,一个代理人接受的委托数量也是巨大的,这就导致很多代理人其实本质上是很多个委托人的共同代理人。由于网络技术的发展,天南地北的投资人都可以找到同一个经纪人来代替他操作证券或股票的买卖,这也就导致了一个结果:同一个经纪人的委托人很有可能不了解其他委托人的私人信息。在共同代理关系中,这种信息的不对称可能会引发共同代理人与某一个(或一些)委托人"串谋"来损害其他委托人利益的情况。那么,问题是,当存在身份信息不对称的共同代理关系下发生了串谋时,串谋的发中对金融市场的公平性和效率有什么样的影响呢?共同代理理论由B.Douglas Bernheim&Michael Whinston开创以来,经过三十多年的发展,已经取得了丰硕的成果。B.Douglas Bernheim&Michael Whinston(1985,1986a)开创性的给出了"共同代理"的定义:当个人(代理人)的行为选择影响了不是一个,而是多个参与人(委托人),并且这些委托人对各种可能行为的偏好是相互冲突的。已有的共同代理理论的研究没有考虑过"双重间谍"这一类的情况。共同代理的一个古老的、典型的例子就是"双重间谍"。在"双重间谍"活动中,"双重间谍"的身份这一信息是至关重要的,而且间谍的双重身份一开始是不被别人所知晓的。但是共同代理理论中并没有研究过共同代理人双重身份这一信息的重要性。然而在现实中,这种共同代理人的双重身份隐蔽的情况很普遍,比如商界中的职业间谍、私家侦探等,已有的共同代理理论就没办法用来分析这类问题。问题就出现了,怎样构建一个可以分析"双重间谍"这一类问题的研究框架呢?还有一个重要的问题就是共同代理为什么会出现。已有的共同代理理论给出的解释无非是共同代理具有规模经济。但是,本文提出,还有一种导致共同代理普遍化的原因就是分工越来越细化。本文提出分工细化能使得共同代理关系出现其实并不难理解。当分工越来越细化时,一个主体不能靠自己完成所有的工作时,它必然会寻找代理人,当越来越多的委托代理关系出现时,不可避免的共同代理也会出现,本文上面提到的身份信息隐蔽的共同代理人就更容易出现。那么,问题是:在分工细化下可能会出现身份信息隐蔽的共同代理关系,那么存在这种分工细化的市场与不存在分工细化的市场相比有什么不同呢?上而提出的两个问题就是本文理论研究的主要内容:简单的说,本文研究的是在一种普遍存在的、有显著特点的框架下分工细化、共同代理和串谋这三者之间的关系以及他们对均衡造成的影响。该框架研究的是纵向分工细化下出现身份隐蔽的共同代理关系之后,共同代理人可能会与委托人串谋这样一系列的因果关系,其中动因是纵向分工细化,行动结果是串谋,研究目的是分析这一系列因果关系对均衡的影响。研究内容主要分了两大部分:一是存在身份信息不对称的共同代理框架下串谋对均衡结果的影响;二是引入分工细化的竞争模型中市场效率的变动问题。本文第四章构建理论模型来研究第一部分的内容。首先构建了一个存在身份信息不对称的博弈互动模型,目的是研究共同代理人或委托人的最优行动选择,以及串谋实现的条件和影响结果,该模型还研究了初始的身份信息不对称程度是否会对最终结果,这对以后构建这一类模型时对初始信息不对称程度的假设有一定的意义;然后,本文以"古诺模型"为例,扩展了模型假设,使之成为一个存在身份信息隐蔽的共同代理人的分析框架,研究了串谋发生的条件、串谋对均衡结果的影响,并且比较了此扩展模型与传统"古诺模型"的均衡结果。本章得到的结论是:串谋在一定条件下会出现;串谋对参与主体来说是有效的,能增加参与串谋的主体的收益,但是串谋对市场效率来说不一定是有效的,在一定条件下,串谋能增加行业整体收益;在一定条件下,串谋也可能会减少行业整体收益。本文第五章拓展了经典的"囚徒困境"案例和存在市场失灵的案例来研究第二个问题。首先拓展了"鹰鸽博弈"和"古诺模型",将分工细化引入到经典模型中,比较了拓展前后(存在分工细化和不存在分工细化)模型的均衡结果,并得到了很有意义的结论;然后,本文构建了一个解决"囚徒困境"的一般化的模型,并研究了分工细化使市场变得更有效的条件;最后,本文拓展了分别存在逆向选择和道德风险的两个经典案例"柠檬市场"和"公司治理模型",并提出了解决这两类市场失灵的有效的建议。本章得到的结论是:"共同代理人"以与委托人串谋的方式参与非合作博弈,串谋具有协同效应,即联盟的收益大于无联盟时共同代理和委托人收益的和,而且串谋会对联盟外的委托人造成损害,即委托人的收益低于无联盟时的收益。当满足一定条件时,在非合作博弈中加入共同代理能够实现一定程度的合作,整体收益和个体收益都会增加。最后本文第六章将理论研究成果应用于于金融市场上分析了串谋对金融市场的公平性和效率的影响,以及提高金融市场公平性、增加市场效率的措施。本文的研究结论是:第一,在存在身份信息不对称的共同代理框架下,共同代理人与委托人串谋发生是有条件的,而且串谋的发生一定会改变各各主体的收益分配结构。在金融市场上串谋的发生会影响金融市场的公平性,不利于金融市场的稳定发展。第二,由分工细化产生共同代理关系,运用共同代理框架下串谋发生的作用机制,可以分析分工细化下串谋对市场效等率的影响,结论是在一定条件下串谋是提高市场效率的。在金融市场上,可以通过合理的分工和合理的串谋来提高市场的效率。更多还原

【Abstract】 In the financial market,due to the division of labor is more and more refined,lead to more and more of the principal-agent relationship,such as securities and the stock broker system,the emergence of the large institutional investors,the investment manager.However,due to the asymmetry of information,financial markets may inevitably a lot of adverse selection and moral hazard problems,such as professional agent irregularities in order to obtain higher earnings,institutional investors and investment managers in order to achieve their own interests and to make irrational investment and so on.While lots of principal-agent relationship,mutual agency relationship also presents a kind of "spring",this is because the number of agents in the financial market is always far less than the number of the principal,an agent entrusted the quantity is huge,this leads to a lot of agents in fact is essentially a number of the principal agent together.Due to the development of network technology.investors can find the same agent extensively to replace his operating the buying and selling of securities or stock,it leads to a result:the same agent of the client probably don’t know other client’s private information.In common agency relationship,this kind of information asymmetry may cause common agent with one(or some)client "conspiracy" to damage the interests of other clients.So,the question is.when there is identity information asymmetry under the agency relationship of collusion happened,the occurrence of conspiracy to the stability and efficiency of financial markets has what kind of impact?Fruitful results of Common agency theory have been achieved for more than 30 years of development since its inception by B.Douglas Bernheim and Michael Whinston.Their papers(1985,1986(a))groundbreaking gave the definition of the"common agent":when a person’s(the agent)behavior affectes not one participal.but many participals(the client),and the clients’ preference for all possible behaviors of the agent are conflicting.However,the existing common agency theory didn’t consider the "double spy" or this kind of situations.The "double spy" is an old,a typical example of the common agency.In "double spy" activities,the identity information of the "double spy" is vital,and the identity information is not known at first.But common agency theory has not studied the importance of this identity information.In reality,however,it is very common that the common agent’s identity information is hidden,such as professional agents of business,private detective,etc.,and the existing common agency theory is not used to analyze this kind of problem.Here is the problem,how to build a research framework that can be used to analyze this kind of problem like "double spy"?There is another important questiong that is why the common agent appers.The explanation of the existing common agency theory is nothing more than economies of scale of the common agent.However,this paper proposed that,there is a division of the cause of common agency’s generalization is the division of labor.In this paper,it is not difficult to understand that the division of labor can produce the common agency relationship in fact.When the division of labor is more and more refined,principals can not finish all the work by themselves,they are bound to find agents,when a growing number of principal-agent relationships appear,the common agent also appear,the identity information hidden common agent mentioned above can appear more easily.So.the question is:under the division of labor,identity information hidden common ageeney relationship may arise,is there any difference between the market of refinement of division of labor and the market of no refinement of division of labor?The above two questions are the main content of this paper to study:in short,this paper studies the relationship between the division of labor,common agency,and collusion under a widespread framework of significant characteristics,and the effects on the equilibrium of them.It is studied in the framework that the vertical division of labor produces the comnmon agency relationship,and the identity information’s concealment of the common agent may lead to the collusion between the pricipals and agentclients.and the motivation is the vertical division of labor,the action result is collusion.Our research purpose is to analyze a series of effects on equilibrium of the causal relationship.The content of our research contains two parts:one is the effects of collusion on the result of equilibrium in a framework within the identity asymmetry information of the common agent;Two is the changes of market efficiency from the introduction of division of labor into competition model.In this paper,the fourth chapter builds theory model to study the first question.Firstly,built a game interactive model of identity information asymmetry,the purpose is to study the optimal action selection of the common agent or principals,and the conditions and of the collusion,and the model also has studied the influence of the asymmetry degree of the initial identity information on the final result,because it is meaningful for building this kind of model in the asymmetry degree of initial identity information hypothesis;Then,based on the "cournot model ",extending the model’s hypothesis,making it to be a common agent analysis framework with a hidden identity information common agent,studing the conditions of the collusion,the influence of collusion on the result of equilibrium,and comparing the equilibrium results of extension model and traditional cournot model.The conclusion is:collusion can appear under certain conditions;Collusion is effective for participation agents,whose income can be increased,but collusion for market efficiency is not necessarily effective,under certain conditions,collusion can increase the whole benefits of industry:Under certain conditions,collusion may also reduce the whole benefits of industry.In this paper,the fifth chapter extends the classic case of "prisoner’s dilemma" and cases with market failure to study the second question.Firstly,it expand the "eagle and dove game" and "the cournot model",introducing the division of labor to the classical models,and compared the equilibrium results of the model,and very meaningful conclusions are obtained;Then,this paper built a generalization model to solue the "prisoner’s dilemma",and studied the conditions for the division of labor making markets more efficient;Finally,this paper extended two classic case of"lemon market" and "corporate governance model" with the existence of adverse selection and moral hazard,respectively,and put forward some effective suggestions to solve the two kinds of market failure.The conclusion of this chapter is that "the common agent" participates in the non-cooperative game in the form of collusion with the clients,and collusion with synergy effect,namely alliance benefits is greater than the union benefits of agent and the principal with no collusion,and collusion may cause damage with client outside the alliance,the client’s income is lower than no alliance benefits.When under certain conditions,common agent in non-cooperative game can achieve a certain degree of cooperation and overall benefits and individual income will increase.Finally,in this paper,the sixth chapter will theory research on the financial markets is used to analyze the collusion influence on the stability and efficiency of financial markets,and enhances the stability of financial markets,increase market efficiency measures.Through the research conclusion of this paper,we can find:First,in the common agency framework,researches of the asymmetric indentity information is of great significance,because the identity information asymmetry can lead to collusion of common agent and the principal,and collusion will change the balanced income structure.Second,the competition model with the division of labor,using the mechanism of action of collusion,can analyze the market forces---wherther division of labor effect on market efficiency or not.It has important theoretical significance.According to the conclusion,under certain conditions,there is a good division of labor to make the market efficiency higher of competition model,and it is proved that reasonable division of labor can improve the efficiency of the market.更多还原