Dynamic Agency and Investment Theory under Model Uncertainty

doi:10.1111/irfi.12170

CORC > 上海财经大学 > 上海财经大学

	Dynamic Agency and Investment Theory under Model Uncertainty
	Niu, Yingjie 1; Yang, Jinqiang 2; Zou, Zhentao 1
刊名	INTERNATIONAL REVIEW OF FINANCE
	2019-06
卷号	19 期号:2 页码:447-458
ISSN号	1369-412X
DOI	10.1111/irfi.12170
英文摘要	We extend dynamic agency and investment theory by incorporating model uncertainty. As concerns regarding model uncertainty induce a trade-off between incentives and ambiguity sharing, the principal tends to delay the cash payout to the agent. We find model uncertainty lowers the firm value, the average q and marginal q, where q is defined as the ratio between a physical asset's market value and its replacement value. Furthermore, model uncertainty leads to insufficient investment, which provides an alternative explanation for under-investment. Finally, the optimal pay-performance sensitivity of the agent's continuation value to the firm's output is state dependent and exceeds the lower bound when it is close to the payout boundary.
WOS研究方向	Business & Economics
语种	英语
出版者	WILEY
WOS记录号	WOS:000470748400008
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/226]
专题	上海财经大学
通讯作者	Zou, Zhentao
作者单位	1.Shanghai Univ Finance & Econ, Sch Finance, Shanghai, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Finance, Shanghai Key Lab Financial Informat Technol, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Niu, Yingjie,Yang, Jinqiang,Zou, Zhentao. Dynamic Agency and Investment Theory under Model Uncertainty[J]. INTERNATIONAL REVIEW OF FINANCE,2019,19(2):447-458.
APA	Niu, Yingjie,Yang, Jinqiang,&Zou, Zhentao.(2019).Dynamic Agency and Investment Theory under Model Uncertainty.INTERNATIONAL REVIEW OF FINANCE,19(2),447-458.
MLA	Niu, Yingjie,et al."Dynamic Agency and Investment Theory under Model Uncertainty".INTERNATIONAL REVIEW OF FINANCE 19.2(2019):447-458.