Quantitative dynamic agency
Investment and CEO compensation under limited commitment
, Journal of Financial Economics, 2015, vol. 116, issue 3, 452-472.
A theory of dynamic contracting with limited commitment and investment.
A tractable model of limited enforcement and the life-cycle of firms
, with Rui Li,
, February 2018, Pages 136-140.
Closed-form solution for a dynamic contracting model with limited commitment.
A unified model of firm dynamics with limited commitment and assortative matching
Journal of Finance, Volume76, Issue1, February 2021, Pages 317-356.
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
Asset pricing with endogenously uninsurable tail risks
, Econometrica, 2021, Volume 89, Issue 3, 1471-1505.
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 quantitative model of dynamic moral hazard, with
, forthcoming, Review of Financial Studies.
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.
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