A unified model of entrepreneurship dynamics

• 成果类型: Article
• 署名作者: Wang, Chong; Wang, Neng; Yang, Jinqiang
• 署名单位: Columbia University; United States Department of Defense; United States Navy; Naval Postgraduate School; National Bureau of Economic Research; Shanghai University of Finance & Economics
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.05.002
• 发表日期: 2012
• 页码: 1-23
• 关键词: Idiosyncratic risk premium; q theory of investment; liquidity constraints; precautionary saving; Capital illiquidity

摘要

We develop an incomplete-markets q-theoretic model to study entrepreneurship dynamics. Precautionary motive, borrowing constraints, and capital illiquidity lead to underinvestment, conservative debt use, under-consumption, and less risky portfolio allocation. The endogenous liquid wealth-illiquid capital ratio w measures time-varying financial constraint. The option to accumulate wealth before entry is critical for entrepreneurship. Flexible exit option is important for risk management purposes. Investment increases and the private marginal value of liquidity decreases as w decreases and exit becomes more likely, contrary to predictions of standard financial constraint models. We show that the idiosyncratic risk premium is quantitatively significant, especially for low w. (c) 2012 Elsevier B.V. All rights reserved.