Hengjie Ai
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Quantitative dynamic agency

Investment and CEO compensation under limited commitment, with Rui Li, , 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, , with Rui Li, Economic Letters, Volume 163, February 2018, Pages 136-140.

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

A unified model of firm dynamics with limited commitment and assortative matching, with Dana Kiku and Rui Li, and Jincheng Tong   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.
  • Technical appendix
  • Details of the numerical solution with Markov chain approximation

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

A quantitative model of dynamic moral hazard, with Dana Kiku and Rui Li, 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, 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.
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