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

摘要：

基于动态投资理论进行波动率模糊下的鲁棒契约设计，利用鲁棒决策方法和鞅方法给出鲁棒契约的解，并探究委托人波动率模糊对企业投资、证券定价、托宾q、股权溢价以及信用价差的影响。研究发现：鲁棒契约在模糊厌恶的委托人和代理人之间产生异质信念，从而导致委托人认为企业现金流的波动率高于真实波动率。特别地，当企业接近于清算边界或代理人的努力成本较低时，委托人认为的波动率相对更高，并由此形成更严重的投资不足；波动率模糊会降低股东价值、契约规定的投资率以及企业平均q；由波动率模糊厌恶产生的股权溢价和信用价差呈正相关，且两者与企业投资率呈负相关。研究结果有助于把握委托人薪酬契约设计影响机理的内在规律，在深化契约理论研究的同时对公司治理的完善与企业投资效率的提升具有一定的参考价值。

关键词: 动态投资, 鲁棒契约, 股权溢价, 信用价差