Optimal Security Design, Capital Structure, and Investment Policies in a Dynamic Agency Setting

动态代理环境下的最优证券设计、资本结构和投资政策

• 批准号: 0452686
• 负责人: Peter DeMarzo
• 金额: --
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2005
• 资助国家: 美国
• 起止时间: 2005-07-01 至 2013-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0452686&HistoricalAwards=false
• 关键词: Optimal; Security; Design; Capital; Structure

ABSTRACTProp ID: SES-0452686P I: DeMarzo, Peter Organization: National Bureau of Economic Research Inc Title: Optimal Security Design, Capital Structure, and Investment Policies in a Dynamic Agency Setting Standard models of security design are static in nature. Many prior analyses of investment and optimal dynamic capital structure begin by assuming a coupon and maturity structure for debt and a dividend payout policy for equity. This research brings the latest techniques of dynamic contract theory to the study of corporate finance. It solves for optimal long-term contracts, and shows conditions for which debt and equity are optimal securities. Moreover, it derives the coupon/maturity structure of the debt and the dividend payout policy for the equity. This project's contracting model also has implications for the dynamics of investment and firm growth. In particular, it shows that optimal investment will be positively correlated with past growth and current cash flows, independent of current investment opportunities. The investigators propose to generalize and extend these techniques to ask still broader questions.The proposed research will bring the techniques of dynamic contract theory to the study of corporate finance, capital structure, and investment. It will address many standard questions in corporate finance from the standpoint of optimal contracts and can show that certain empirical regularities in corporate finance may indeed represent optimal behavior in an agency context. For example, the investigators have already demonstrated optimal contracts imply a correlation between cash flow and investment. This also implies a strongly history dependent capital structure, a feature of the data that has puzzled researchers.The investigators expect to make significant methodological contributions as well. The techniques of DeMarzo and Sannikov (2004) demonstrate a tractible method for analyzing dynamic agency models in continuous time. By generalizing these techniques further, and moving contracting theory into the continuous-time domain that is more natural for asset pricing and empirical finance, this research provides a bridge between these literatures that will stimulate future research.Broader Impact: The study will have a number of useful policy implications. It will broaden our understanding of small firm finance, which is important for economic growth and policy, especially regarding the benefits of providing public subsidies to small business. The investigators also propose to study securities and bankruptcy laws. One view of these laws is that they serve simply as boilerplate provisions - since these provisions are optimal for so many firms, codifying these provisions as law reduces firms' transactions costs. If so, we might expect firms to have the ability to opt out of these provisions. This, however, is not the case. There is no opting out of securities or bankruptcy law. This project will ask under what circumstances appropriately designed laws regarding default and liquidation can improve contracting opportunities? By applying the new theory to hedge funds, this research may also have implications for recently proposed regulations of this sector. The results will have empirical implications for optimal managerial compensation schemes. For instance, an agent's equity share will be dynamic in nature. Normally, the agent's equity exposure will increase with performance, much like stock options. But in times of financial distress, managers will be given "high powered" incentive payments if they keep the firm from defaulting. The use of such payments at a time when the firm and its investors are doing poorly has been the subject of much recent public scrutiny.

摘要Prop ID： SES-0452686P I： 组织： 美国国家经济研究局（National Bureau of Economic Research Inc） 动态代理环境下的最优证券设计、资本结构与投资策略 安全设计的标准模型本质上是静态的。许多以前的投资和最优动态资本结构的分析开始假设债券的息票和到期结构和股票的股息支付政策。本研究将动态契约理论的最新技术引入公司财务研究。它解决了最优长期合同，并显示了债务和股权是最优证券的条件。此外，它还推导出债务的息票/到期结构和股权的股息支付政策。该项目的承包模式也对投资和公司增长的动态产生影响。特别是，它表明，最优投资将与过去的增长和当前的现金流正相关，独立于当前的投资机会。研究人员建议推广和扩展这些技术，以提出更广泛的问题。拟议的研究将带来动态契约理论的技术，公司财务，资本结构和投资的研究。它将从最优契约的角度解决公司融资中的许多标准问题，并可以表明，公司融资中的某些经验主义行为确实可能代表代理环境中的最优行为。例如，研究人员已经证明，最优合同意味着现金流和投资之间的相关性。这也意味着一个强烈的历史依赖的资本结构，数据的一个特点，一直困扰着研究人员。研究人员希望作出重大的方法学贡献，以及。DeMarzo和Sannikov（2004）的技术展示了一种用于分析连续时间动态代理模型的简单方法。通过进一步推广这些技术，并移动到连续时间域的合同理论，是更自然的资产定价和实证金融，这项研究提供了一个桥梁，这些文献之间，将刺激未来的研究。更广泛的影响：这项研究将有一些有用的政策含义。它将扩大我们对小企业融资的理解，这对经济增长和政策非常重要，特别是关于向小企业提供公共补贴的好处。调查人员还建议学习证券和破产法。对这些法律的一种看法是，它们只是作为样板条款-因为这些条款对许多公司来说是最佳的，将这些条款编纂为法律可以降低公司的交易成本。如果是这样的话，我们可能会期望公司有能力选择退出这些条款。但事实并非如此。没有选择退出证券或破产法。本项目将探讨，在何种情况下，适当设计的违约和清算法律可以改善订约机会？通过将新理论应用于对冲基金，这项研究也可能对最近提出的这一部门的监管产生影响。 研究结果将对最优管理者薪酬方案具有实证意义。例如，代理人的股权份额在本质上是动态的。通常情况下，代理人的股票风险敞口将随着业绩的增加而增加，就像股票期权一样。但在金融危机时期，如果管理者能使公司免于违约，他们将获得“高权力”的激励报酬。在公司及其投资者表现不佳的时候使用这种付款一直是最近公众监督的主题。