| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28367 |
| 来源ID | Working Paper 28367 |
| Robust Financial Contracting and Investment | |
| Aifan Ling; Jianjun Miao; Neng Wang | |
| 发表日期 | 2021-01-25 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We study how investors' preferences for robustness influence corporate investment, financing, and compensation decisions and valuation in a financial contracting model with agency. We characterize the robust contract and show that early liquidation can be optimal when investors are sufficiently ambiguity averse. We implement the robust contract by debt, equity, cash, and a financial derivative asset. The derivative is used to hedge against the investors' concern that the entrepreneur may be overly optimistic. Our calibrated model generates sizable equity premium and credit spread, and implies that ambiguity aversion lowers Tobin's q; the average investment, and investment volatility. The entrepreneur values the project at an internal rate of return of 3.5% per annum higher than investors do. |
| 主题 | Microeconomics ; Economics of Information ; Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing ; Corporate Finance ; Labor Economics ; Labor Compensation |
| URL | https://www.nber.org/papers/w28367 |
| 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/586041 |
| 推荐引用方式 GB/T 7714 | Aifan Ling,Jianjun Miao,Neng Wang. Robust Financial Contracting and Investment. 2021. |
| 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 | ||
| w28367.pdf（1329KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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