Investment under Uncertainty, Heterogeneous Beliefs, and Agency Conflicts

被引：29

作者：

Giat, Yahel ^{[2
]}

Hackman, Steven T. ^{[3
]}

Subramanian, Ajay ^{[1
]}

机构：

[1] Georgia State Univ, Dept Risk Management & Insurance, J Mack Robinson Coll Business, Atlanta, GA 30303 USA

[2] Jerusalem Coll Technol, Jerusalem, Israel

[3] Georgia Inst Technol, Atlanta, GA 30332 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2010年 / 23卷 / 04期

关键词：

CONTRACTS; RETURN;

D O I：

10.1093/rfs/hhp096

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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)

引用

页码：1360 / 1404

页数：45

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