| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9758 |
| 来源ID | Working Paper 9758 |
| Equilibrium Asset Prices Under Imperfect Corporate Control | |
| James Dow; Gary Gorton; Arvind Krishnamurthy | |
| 发表日期 | 2003-06-09 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | Shareholders have imperfect ontrol over the decisions of the management of a firm. We integrate a widely accepted version of the separation of ownership and control -- Jensen's (1986) free cash flow theory--into a dynamic equilibrium model and study the effect of imperfect corporate control on asset prices and investment. We assume that firms are run by empire-building managers who prefer to invest all free cash flow rather than distributing it to shareholders. Sharefholders are aware of this problem but it is costly for them to intervene to increase earnings payouts. Our corporate finance approach suggests that the aggregate free cash flow of the corporate sector is an important state variable in explaining asset prices and investment. We show that the business cycle variation in free cash flow helps explain the cyclical behavior of interest rates and the yield curve. The stochastic variation in free cash flow sheds light on risk premia in corporate bonds and out-of-the-money put options. We show that the financial friction causes shocks to affect investment, and causes otherwise i.i.d. shocks to be transmitted from period to period. Unlike the existing macroeconomics literature on financial frictions, the shocks propagate through large firms and during booms. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Corporate Finance |
| URL | https://www.nber.org/papers/w9758 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567382 |
| 推荐引用方式 GB/T 7714 | James Dow,Gary Gorton,Arvind Krishnamurthy. Equilibrium Asset Prices Under Imperfect Corporate Control. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9758.pdf（444KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
