Hedging, optimal capital structure and incentives for risk-shifting with preferences for liquidity
研究了企业家在流动性偏好下如何影响其消费、投资组合、对冲和融资决策，发现流动性偏好会减少对冲需求、增加债务发行，并可能改变风险转移激励。
We develop a dynamic incomplete-markets model of entrepreneurial firms and demonstrate the implications of preferences for liquidity to entrepreneur's interdependent consumption, portfolio allocation, hedging and financing decisions. The numerical results provide several important implications. Preferences for liquidity reduce hedging demand using risky assets. Besides, the existence of preferences for liquidity decreases the implied equity value and encourages the entrepreneur to issue more debt. Especially, the preferences for liquidity can overturn the risk-shifting incentives of a risk-averse entrepreneur.