Dynamic Agency and the q Theory of Investment

• 成果类型: Article
• 署名作者: DeMarzo, Peter M.; Fishman, Michael J.; He, Zhiguo; Wang, Neng
• 署名单位: Stanford University; Northwestern University; University of Chicago; Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01787.x
• 发表日期: 2012
• 页码: 2295-2340
• 关键词: CORPORATE-INVESTMENT; security design; RISK-MANAGEMENT; continuous-time; moral hazard; CONTRACTS

摘要

We develop an analytically tractable model integrating dynamic investment theory with dynamic optimal incentive contracting, thereby endogenizing financing constraints. Incentive contracting generates a history-dependent wedge between marginal and average q, and both vary over time as good (bad) performance relaxes (tightens) financing constraints. Financial slack, not cash flow, is the appropriate proxy for financing constraints. Investment decreases with idiosyncratic risk, and is positively correlated with past profits, past investment, and managerial compensation even with time-invariant investment opportunities. Optimal contracting involves deferred compensation, possible termination, and compensation that depends on exogenous observable persistent profitability shocks, effectively paying managers for luck.