摘要

本文以委託代理理論為基礎，研究投資人和基金經理在不同風險偏好下對激勵契約的影響，並進一步探討在兩期情況下，存在經驗累積效果對於跨期激勵契約的影響問題。研究結果發現，投資人在制定激勵契約時應當考慮自己以及基金經理的風險偏好，這樣才能達到有效激勵的目的。此外，在跨期情況下，經驗效果在單一契約時對產出為正相關，對努力程度則為負相關，顯示在保障契約條件下，基金經理產生道德風險的情況；在二期契約時，經驗效果對產出為正相關，二期的努力程度則維持不變，顯示當存在累積經驗時，二期契約的跨期激勵效果是優於單一契約，但二期契約的特性對於績效良好的基金經理並無法提供一個保障契約；單一變動激勵契約恰為上述二種契約之折衷方式，經過模型推導後，證實單一變動激勵契約可以加強基金經理的跨期激勵誘因，並能提供給基金經理一個穩定的跨期契約。

Abstract

Based on the principal-agent theory, this study was undertaken to investigate the influence of incentive contracts while principal or agent under the different risk preferences. It further explored, the impact from cumulative effect of existential experience on cross-implications for incentive contracts under two periods. The results indicated that principal should consider risk appetite from themselves or their agent in the process of designing the incentive contracts, so as to achieve the purpose of effective incentive. In addition, in the intertemporal circumstance, the correlation between experience effect in single-period contract and its output is positive while the experience effect and its effort is negative. The result indicated that under the condition of guaranteed contract, fund manager meet moral risk. For two- period fluctuated-incentive contract, the correlation between the experience effect and output is positive. The same level of efforts appeared that in cumulative effect of existential experience, the intertemporal incentive effect for two-period fluctuated-incentive contract is better than single fixed-terms incentive contract. However, the feature of two-period fluctuated-incentive contract cannot offer the guarantee to well-performing fund manager. Single fluctuated-incentive contract is a compromise way for the above two kinds of contracts. The model was derived to prove that single fluctuated- incentive contract can enhance the effect of intertemporal incentives for fund managers, as well as providing a stable intertemporal contract.

目錄
論文審定書……………………………………………………………………………………Ⅰ
誌謝……………………………………………………………………………………………Ⅱ
中文摘要………………………………………………………………………………………Ⅲ
英文摘要………………………………………………………………………………………Ⅳ
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的與方法 2
第二章文獻回顧 3
第三章 模型分析 7
第一節 基金經理人激勵的一般模型 7
第二節 存在經驗累積效果對於跨期激勵契約的問題 10
一、單一契約 11
二、二期契約 16
三、單一變動激勵契約 24
第四章 結論 27
參考文獻 28

參考文獻
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