Analysis of Fund Manager's Noise Trading for Principal-Agent Relationship

摘要

This paper deals with the analysis of the fund manager’s noise trading that is on the basis of the moral hazard in the principal-agent theory, because there is a kind of typical principal-agent relationship between investor and fund manager, but the fund manager’s action of maximizing his own utility may encroach the investors’ benefits, and also the fund manager may take the gambling way (noise trading) for lack of the relative information, which causes the main moral hazard problem in the relationship between investors and fund manager. This paper sets up a dynamic principal-agent model to get the critical benefit of noise trading, and when the fund manager will deal the noise trading; and also, the model puts forward the way to elude the noise trading.