Asset pricing with endogenously uninsurable tail risks, with Anmol Bhandari, 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.
  • Slides
  • Details of the numerical solution

A unified model of firm dynamics with limited commitment and assortative matching, with Dana Kiku and Rui Li, and Jincheng Tong forthcoming, Journal of Finance.

A unified model of limited commitment and assortative matching that generate power laws in firm size and CEO pay.

Investment and CEO compensation under limited commitment, with Rui Li, Journal of Financial Economics

A theory of dynamic contracting with limited commitment and investment.

Quantifying the impact of moral hazard, with Dana Kiku and Rui Li

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, with Kai Li and Rui Li

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,  with Rui Li, Economic Letters

Closed-form solution for a dynamic contracting model with limited commitment.