Investment under Uncertainty, Heterogeneous Beliefs, and Agency Conflicts

• 成果类型: Article
• 署名作者: Giat, Yahel; Hackman, Steven T.; Subramanian, Ajay
• 署名单位: University System of Georgia; Georgia State University; Jerusalem College of Technology; University System of Georgia; Georgia Institute of Technology
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp096
• 发表日期: 2010
• 页码: 1360
• 关键词: Contracts; return

摘要

We develop a structural model to investigate the effects of asymmetric beliefs and agency conflicts on dynamic principal agent relationships. Optimism has a first-order effect on incentives, investments, and output, which could reconcile the private equity puzzle. Asymmetric beliefs cause optimal contracts to have features consistent with observed venture capital and research and development (R&D) contracts. We derive testable implications for the effects of project characteristics on contractual features. We calibrate our model to data on pharmaceutical R&D projects and show that optimism indeed significantly influences project values. Permanent and transitory components of risk have opposing effects on project values and durations. (JEL D83, D86, 030)