关键词: 动态投资, 鲁棒契约, 股权溢价, 信用价差

Abstract:

This paper integrates the principal ambiguity aversion into the dynamic investment model to design robust contracts. It utilizes robust decision-making and martingale methods to provide solutions for robust contracts. It then examines the effects of volatility ambiguity of the principal on corporate investment, pricing of corporate securities, Tobin q, equity premium, and credit spreads. It is found that robust contracts generate heterogeneous beliefs between ambiguity averse principals and agents, resulting in principals believing that the cash flow volatility is higher than the true volatility. In particular, when the firm is close to the liquidation limit or when agents’ effort costs is low, principals’ perceived volatility is relatively higher, leading to a more severe underinvestment. The volatility ambiguity reduces shareholder value, investment ratio under the contract, and average q of the firm. These results are helpful for grasping the internal laws of the impact mechanism of principal compensation contract design, and have a certain reference value for the improvement of corporate governance and the improvement of investment efficiency, while deepening contract theory research.

Key words: dynamic investment, robust contracts, equity premium, credit spreads