Shiyang Huang
    PhD Candidate
    Department of Finance
    London School of Economics
    Room 418, Financial Market Group, 4th Floor Lib
    Houghton Street
    London WC2A 2AE
    Phone: +44 (0)20 7849 4647

    [Curriculum Vitae]

Job Market Paper

Delegated Information Acquisition and Asset Pricing ,October 2014

This paper studies how compensation contracts, which are designed to minimize agency problems arising with institutional investors, affect the information acquisition decisions and asset pricing. Principals (e.g. fund owners) delegate information acquisition to their agents (e.g. fund managers), and incentivize them to make unobservable efforts by compensation contracts, which are general functions of agents' forecasts, asset's price and payoff. Our novelty is that complementarity among the principals' delegation decisions arises due to the agency problems. It is generated by the following mechanism: when more principals delegate information acquisition to their agents, the asset price becomes more informative and it would be easier for principals to monitor agents through the asset price; with agency problems mitigated, other principals would be more willing to delegate information acquisition to their agents. This study shows that this agency problem can provide new explanations to several widely discussed phenomena, including large non-fundamental volatilities associated with smaller/growth stocks or during recessions, idiosyncratic volatility comovement among different assets, herding behavior and home bias.

Working Papers

Investment Waves under Cross Learning (with Yao Zeng from Harvard University), September 2014

How Options Affect Information Acquisition and Asset Pricing , October 2014

The Booms and Busts of Beta Arbitrage (with Dong Lou and Christopher Polk from LSE), October 2014

Does Word of Mouth Communication Affect Trading? , October 2014

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