Asset pricing with endogenously uninsurable tail risks, with Anmol Bhandari

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

Limited commitment and firm dynamics, with Dana Kiku and Rui Li

A limited commitment model that generate power laws in firm size and CEO pay.

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.

Investment and CEO compensation under limited commitment, with Rui Li

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

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