Dynamic Agency and the q Theory of Investment

被引：162

作者：

DeMarzo, Peter M. ^{[1
]}

Fishman, Michael J. ^{[2
]}

He, Zhiguo ^{[3
]}

Wang, Neng ^{[4
]}

机构：

[1] Stanford Univ, Stanford, CA 94305 USA

[2] Northwestern Univ, Evanston, IL 60208 USA

[3] Univ Chicago, Chicago, IL 60637 USA

[4] Columbia Univ, New York, NY 10027 USA

来源：

JOURNAL OF FINANCE | 2012年 / 67卷 / 06期

关键词：

CORPORATE-INVESTMENT; SECURITY DESIGN; RISK-MANAGEMENT; CONTINUOUS-TIME; MORAL HAZARD; CONTRACTS;

D O I：

10.1111/j.1540-6261.2012.01787.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop an analytically tractable model integrating dynamic investment theory with dynamic optimal incentive contracting, thereby endogenizing financing constraints. Incentive contracting generates a history-dependent wedge between marginal and average q, and both vary over time as good (bad) performance relaxes (tightens) financing constraints. Financial slack, not cash flow, is the appropriate proxy for financing constraints. Investment decreases with idiosyncratic risk, and is positively correlated with past profits, past investment, and managerial compensation even with time-invariant investment opportunities. Optimal contracting involves deferred compensation, possible termination, and compensation that depends on exogenous observable persistent profitability shocks, effectively paying managers for luck.

引用

页码：2295 / 2340

页数：46

共 42 条

[11] Optimal security design and dynamic capital structure in a continuous-time agency model [J].