Quantitative dynamic agency
Asset pricing with endogenously uninsurable tail risks
, Revise and Resubmit, Econometrica
Dynamic-agency based asset pricing. We show that limited commitment generates endogenously uninsurable tail risks. In general equilibrium, the uninsured tail risks amplify risk prices under recursive preferences.
Details of the numerical solution
A unified model of firm dynamics with limited commitment and assortative matching
forthcoming, Journal of Finance.
A unified model of limited commitment and assortative matching that generate power laws in firm size and CEO pay.
Details of the numerical solution with Markov chain approximation
Investment and CEO compensation under limited commitment
, Journal of Financial Economics
A theory of dynamic contracting with limited commitment and investment.
Quantifying the impact of moral hazard
Moral hazard accounts for the stylized facts on the cross-sectional and time-series properties of CEO and firm investment.
Moral hazard and investment-cash flow sensitivity
Dynamic moral hazard accounts for the failure of Q-theory and the pattern of investment-cash flow sensitivity regressions.
A tractable model of limited enforcement and the life-cycle of firms
, Economic Letters
Closed-form solution for a dynamic contracting model with limited commitment.
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