Robust leverage dynamics without commitment

DOI10.1007/S00199-022-01419-3MaRDI QIDQ2088617zbMATH OpenOpenAlexFDO

Authors Shi-Lin Li, Jinqiang Yang, Siqi Zhao

Publication date 6 October 2022

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-022-01419-3

zbMATH Keywords

ambiguitycommitmentcapital structure

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• Optimal capital structure, ambiguity aversion, and leverage puzzles
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Cites work

• Ambiguity sharing and the lack of relative performance evaluation
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Anticipating Disagreement in Dynamic Contracting
• Can ambiguity about rare disasters explain equity premium puzzle?
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• Commitment vs. Flexibility
• Dynamic corporate investment and liquidity management under model uncertainty
• Incentive compatibility under ambiguity
• Irreversible investment and Knightian uncertainty
• Maxmin expected utility with non-unique prior
• New formulations of ambiguous volatility with an application to optimal dynamic contracting
• Optimal capital structure, ambiguity aversion, and leverage puzzles
• Optimal consumption and portfolio choice with ambiguous interest rates and volatility
• Optimal contracting under mean-volatility joint ambiguity uncertainties
• Risk preferences and the macroeconomic announcement premium
• Risk, ambiguity and the Savage axioms
• Risk, uncertainty, and option exercise
• Robust Contracts in Continuous Time
• Robust contracting and corporate-termism
• Robust contracting in general contract spaces
• Robust contracts with one-sided commitment
• Robustness
• Term Structures of Credit Spreads with Incomplete Accounting Information
• The pricing of options and corporate liabilities

Cited in

(6)

• Entrepreneurship and leverage dynamics without commitment
• Dynamic Leveraging–Deleveraging Games
• Credit market frictions and capital structure dynamics
• Robust dynamic contracts with multiple agents
• Introduction to the special issue in honor of Larry Epstein
• The leverage-profitability puzzle resurrected

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