Dynamic Moral Hazard and Risk-Shifting Incentives in a Leveraged Firm
构建了一个可解析的模型，整合了债券持有人与股东之间的风险转移问题以及股东与经理之间的道德风险问题，发现最优契约会放大上行收益从而增加股东的风险转移倾向，并预测风险转移与杠杆率之间存在非单调关系，调和了矛盾的实证发现。
I develop an analytically tractable model that integrates the risk-shifting problem between bondholders and shareholders with the moral-hazard problem between shareholders and the manager. An optimal contract binds shareholders and the manager, and this contract’s flexibility allows shareholders to relax the manager’s incentive constraint following a “good” profitability shock. Thus, the optimal contract amplifies the upside and thereby increases shareholder appetite for risk shifting. Whereas some empirical studies find a positive relation between risk shifting and leverage, others find a negative relation. This model predicts a non-monotonic relation between risk shifting and leverage and can reconcile these contradictory empirical findings.