Dynamic Security Design: Convergence to Continuous Time and Asset Pricing Implications

By Bruno Biais, Thomas Mariotti, Guillaume Plantin, Jean-Charles Rochet. 2007

354 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d74e12e2e4137bfd12af7beebea8dceb5445a996

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Citations in the corpus

Capital Structure, Cost of Capital, and Voluntary Disclosures (2011, methodology): “, Dye [1985], Jung and Kwon [1988], or Pae [2005]), we assume: (1) if the manager makes a disclosure, it must be truthful; (2) if the manager receives no information, he necessarily makes no disclosure; and (3) the manager cannot disclose that he has received no information.”
Dynamic Mechanism Design: An Introduction (2019, neutral): “Board (2007) extended the analysis to the case where the sales date itself is also endogenously chosen.”
Persistent Private Information (2008, background): “4 Biais, Mariotti, Plantin, and Rochet (2007) study a closely related discrete time model and its continuous time limit.”
Optimal Long-Term Financial Contracting (2007, background): “16 Termination is not randomized in the continuous-time version of this model; see Biais et al. (2007) and DeMarzo and Sannikov (2006). 17 A negative draw implies that a dividend is paid in period 0.”
Inside and Outside Liquidity (2011, background): “Biais et al. (2007, 2008) and DeMarzo and Fishman (2007 a,b) shed light on how over time investment and available liquidity adjust to profit realizations in an optimal contract.”
Illiquidity and All Its Friends (2011, background): “Nonetheless, very interesting contributions by Biais et al. (2007, 2008) and by de Marzo-Fishman (2007 a,b) shed some light on Goodhart's puzzle.10 Biais et al. for example show that liquidity is not meant to be fully depleted even though it is indeed reduced after an adverse shock.”
Calibrated Incentive Contracts (2013, neutral): “The use of downsizing in Biais et al. (2007, 2010) however is slightly different.”
A theory of corporate financial decisions with liquidity and solvency concerns (2011, positive): “This paper builds on the contingent claims models of risky asset valuation introduced by Black and Scholes (1973) and Merton (1974).”
Limits of Arbitrage (2010, neutral): “A recent literature on optimal dynamic financial contracting in continuous time, e.g., Biais et al. (2007) and DeMarzo & Fishman (2007), could be useful in this respect.”
Collateral, Risk Management, and the Distribution of Debt Capacity (2010, background): “…firm financing; see Bolton and Scharfstein (1990), Gromb (1994), and, more recently, Clementi and Hopenhayn (2006), DeMarzo and Sannikov (2006), DeMarzo and Fishman (2007a, 2007b), Biais et al. (2007), DeMarzo et al. (2007), and Atkeson and Cole (2008) in addition to the papers mentioned above.”
A Model of Dynamic Compensation and Capital Structure (2011, positive): “DeMarzo and Fishman (2006), DeMarzo and Sannikov (2006), and Biais et al. (2007) solve a dynamic contracting problem with a risk-neutral agent, where the limited liability restriction is imposed.”
Dynamic Agency and the q Theory of Investment (2012, background): “The agents objective function includes the present discounted value of compensation (the rst term in (5)) and the potential private benets from taking action at < 1 (the second term in (5)).”