Search Results - "DeMarzo, Peter M."

Learning, Termination, and Payout Policy in Dynamic Incentive Contracts by DEMARZO, PETER M., SANNIKOV, YULIY

“…We study a principal–agent setting in which both sides learn about future profitability from output, and the project can be abandoned/terminated if…”
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Dynamic Agency and the q Theory of Investment by DEMARZO, PETER M., FISHMAN, MICHAEL J., HE, ZHIGUO, WANG, NENG

“…We develop an analytically tractable model integrating dynamic investment theory with dynamic optimal incentive contracting, thereby endogenizing financing…”
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Optimal Security Design and Dynamic Capital Structure in a Continuous-Time Agency Model by DeMARZO, PETER M., SANNIKOV, YULIY

“…We derive the optimal dynamic contract in a continuous-time principal-agent setting, and implement it with a capital structure (credit line, long-term debt,…”
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Relative Wealth Concerns and Financial Bubbles by DeMarzo, Peter M., Kaniel, Ron, Kremer, Ilan

“…We present a rational general equilibrium model that highlights the fact that relative wealth concerns can play a role in explaining financial bubbles. We…”
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Presidential Address: Collateral and Commitment by DEMARZO, PETER M.

“…Optimal dynamic capital structure choice is fundamentally a problem of commitment. In a standard trade-off setting with shareholder-debtholder agency…”
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Leverage Dynamics without Commitment by DEMARZO, PETER M., HE, ZHIGUO

“…ABSTRACT We characterize equilibrium leverage dynamics in a trade‐off model in which the firm can continuously adjust leverage and cannot commit to a policy ex…”
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The Leverage Ratchet Effect by ADMATI, ANAT R., DEMARZO, PETER M., HELLWIG, MARTIN F., PFLEIDERER, PAUL

“…Firms' inability to commit to future funding choices has profound consequences for capital structure dynamics. With debt in place, shareholders pervasively…”
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Contracting in Peer Networks by DEMARZO, PETER M., KANIEL, RON

“…ABSTRACT We consider multiagent multifirm contracting when agents benchmark their wages to those of their peers, using weights that vary within and across…”
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Test Design and Minimum Standards by DeMarzo, Peter M., Kremer, Ilan, Skrzypacz, Andrzej

“…We analyze test design and certification standards when an uninformed seller has the option to generate and disclose costly information regarding asset…”
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Ownership Dynamics and Asset Pricing with a Large Shareholder by DeMarzo, Peter M., Urošević, Branko

“…We analyze the optimal trading and ownership policy of a large shareholder who must trade off diversification and monitoring incentives. Without commitment,…”
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Portfolio Liquidity and Security Design with Private Information by DeMarzo, Peter M, Frankel, David M, Jin, Yu

“…Abstract A privately informed seller seeks to liquidate a portfolio to raise cash. Each asset’s liquidity thus depends on the impact of its sale on the value…”
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The Pooling and Tranching of Securities: A Model of Informed Intermediation by DeMarzo, Peter M.

“…I show that when an issuer has superior information about the value of its assets, it is better off selling assets separately rather than as a pool due to the…”
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Corporate Incentives for Hedging and Hedge Accounting by DeMarzo, Peter M., Duffie, Darrell

“…This article explores the information effect of financial risk management. Financial hedging improves the informativeness of corporate earnings as a signal of…”
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Optimal Long-Term Financial Contracting by DeMarzo, Peter M., Fishman, Michael J.

“…We develop an agency model of financial contracting. We derive long-term debt, a line of credit, and equity as optimal securities, capturing the debt coupon…”
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Robust option pricing: Hannan and Blackwell meet Black and Scholes by DeMarzo, Peter M., Kremer, Ilan, Mansour, Yishay

“…We apply methods developed in the literature initiated by Hannan and Blackwell on robust optimization, approachability and calibration, to price financial…”
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Persuasion Bias, Social Influence, and Unidimensional Opinions by DeMarzo, Peter M., Vayanos, Dimitri, Zwiebel, Jeffrey

“…We propose a boundedly rational model of opinion formation in which individuals are subject to persuasion bias; that is, they fail to account for possible…”
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Agency and Optimal Investment Dynamics by DeMarzo, Peter M., Fishman, Michael J.

“…Agency problems limit firms' access to capital markets, curbing investment. Firms and investors seek contractual ways to mitigate these problems. What are the…”
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Bidding with Securities: Auctions and Security Design by DeMarzo, Peter M., Kremer, Ilan, Skrzypacz, Andrzej

“…We study security-bid auctions in which bidders compete for an asset by bidding with securities whose payments are contingent on the asset's realized value. In…”
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Diversification as a Public Good: Community Effects in Portfolio Choice by Demarzo, Peter M., Kaniel, Ron, Kremer, Ilan

“…Within a rational general equilibrium model in which agents care only about personal consumption, we consider a setting in which, due to borrowing constraints,…”
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The Optimal Enforcement of Insider Trading Regulations by DeMarzo, Peter M., Fishman, Michael J., Hagerty, Kathleen M.

“…Regulating insider trading lessens the adverse selection problem facing market makers, enabling them to quote better prices. An Optimal enforcement policy must…”
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