We explain Tullock's puzzle of small payments from special interests to policy‐makers by the hold‐up problem between the two parties. We construct a simple lobbying environment where an uninformed policy‐maker is a price‐setter who sells access to two opposed and privately informed lobbyists. The key equilibrium property is “the curse of the ex ante favored lobbyist”; the lobbyist proposing a project with the higher expected public value ends up worse off than the lobbyist proposing a project with the lower expected public value. In the absence of contribution caps, the ex ante favored lobbyist strategically devalues her project, and the resulting competitive devaluations destroy private values, revenues, as well as correlated public values. Ex ante, the policy‐maker benefits from a binding contribution cap protects the ex ante favored lobbyist, eliminates competitive devaluations, and thus remedies the hold‐up problem.