When q theory meets large losses risks and agency conflicts  

作　　者：WANG Ying HUANG Wen-li LI Sheng-hong 

机构地区：[1]School of Mathematics Science,Zhejiang University [2]China Academy of Financial Research,Zhejiang University of Finance and Economics

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》2017年第4期477-492,共16页高校应用数学学报（英文版）（B辑）

基　　金：Supported by the National Natural Science Foundation of China(11571310 and 71371168)

摘　　要：We incorporate large losses risks into the DeM arzo et al.(2012) model of dynamic agency and the q theory of investment.The large losses risks induce losses costs and losses arising from agency conflicts during the large losses prevention process.Both of them reduce firm’s value,distort investment policy and generate a deeper wedge between the marginal and average q.In addition,we study the implementation of the contract to enhance the practical utility of our model.The agent optimally manages the firm’s cash flow and treats the cash reservation and credit line as the firm’s financial slack,and hedges the productivity shocks and large losses shocks via futures and insurance contracts,respectively.We incorporate large losses risks into the DeM arzo et al.(2012) model of dynamic agency and the q theory of investment.The large losses risks induce losses costs and losses arising from agency conflicts during the large losses prevention process.Both of them reduce firm's value,distort investment policy and generate a deeper wedge between the marginal and average q.In addition,we study the implementation of the contract to enhance the practical utility of our model.The agent optimally manages the firm's cash flow and treats the cash reservation and credit line as the firm's financial slack,and hedges the productivity shocks and large losses shocks via futures and insurance contracts,respectively.

关 键 词：agency problem large losses q theory INVESTMENT 

分 类 号：F275[经济管理—企业管理]