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作者：Lerner, Josh; Schoar, Antoinette; Sokolinski, Stanislav; Wilson, Karen
作者单位：Harvard University; Massachusetts Institute of Technology (MIT); Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; Organisation for Economic Co-operation & Development (OECD)
摘要：This paper examines the role of investments by angel groups across a heterogeneous set of 21 countries with varying entrepreneurship ecosystems. Exploiting quasi-random assignment of deals around the groups' funding thresholds, we find a positive impact of funding on firm growth, performance, survival, and follow-on fundraising, which is independent of the level of venture activity and entrepreneur-friendliness in the country. However, the maturity of startups that apply for funding (and are u...
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作者：Adams, Renee B.; Akyol, Ali C.; Verwijmeren, Patrick
作者单位：University of New South Wales Sydney; University of Melbourne; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Directors are not one-dimensional. We characterize their skill sets by exploiting Regulation S-K's 2009 requirement that U.S. firms must disclose the experience, qualifications, attributes, or skills that led the nominating committee to choose an individual as a director. We then examine how skills cluster on and across boards. Factor analysis indicates that the main dimension along which boards vary is in the diversity of skills of their directors. We find that firm performance increases when...
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作者：Bessembinder, Hendrik
作者单位：Arizona State University; Arizona State University-Tempe
摘要：The majority of common stocks that have appeared in the Center for Research in Security Prices (CRSP) database since 1926 have lifetime buy-and-hold returns less than one-month Treasuries. When stated in terms of lifetime dollar wealth creation, the best-performing 4% of listed companies explain the net gain for the entire US stock market since 1926, as other stocks collectively matched Treasury bills. These results highlight the important role of positive skewness in the distribution of indiv...
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作者：Baloria, Vishal P.; Heese, Jonas
作者单位：Boston College; Harvard University
摘要：The media can impose reputational costs on firms because of its important role as an information intermediary and its ability to negatively slant coverage. We exploit a quasi-natural experiment that holds constant the information event across firms but varies the availability of a major news outlet in local markets. We find that firms subject to the threat of slanted coverage suppress the release of negative information before the event and release it subsequently. Our results are consistent w...
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作者：Frank, Murray Z.; Sanati, Ali
作者单位：University of Minnesota System; University of Minnesota Twin Cities; American University
摘要：Using a comprehensive set of news stories, we find a stark difference in market responses to positive and negative price shocks accompanied by new information. When there is a news story about a firm, positive price shocks are followed by reversal, while negative ones result in drift. This is interpreted as the stock market overreaction to good news and underreaction to bad news. These seemingly contradictory results can be explained in a single framework, considering the interaction of retail...
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作者：La Spada, Gabriele
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Do asset managers reach for yield because of competitive pressures in a low rate environment? I propose a tournament model of money market funds (MMFs) to study this question. When funds care about relative performance, an increase in the risk premium leads funds with lower default costs to increase risk taking, while funds with higher default costs decrease risk taking. Without changes in the premium, lower risk-free rates reduce the risk taking of all funds. I show that these predictions are...
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作者：Weber, Michael
作者单位：University of Chicago; National Bureau of Economic Research
摘要：The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross-section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor models can explain only 50% of the return differential, and the difference in returns is three times larger after periods of high investor sentiment. Analysts extrapolate from past earnings growth into th...
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作者：Abel, Andrew B.
作者单位：University of Pennsylvania
摘要：I analyze investment, q, and cash flow in a tractable stochastic model in which marginal q and average q are identically equal. I introduce classical measurement error and derive closed -form expressions for the coefficients in regressions of investment on q and cash flow. The cash -flow coefficient is positive and larger for faster growing firms, yet there are no financial frictions in the model. I develop the concepts of bivariate attenuation and weight shifting to interpret the estimated co...
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作者：Golez, Benjamin; Koudijs, Peter
作者单位：University of Notre Dame; Stanford University; National Bureau of Economic Research
摘要：We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands and UK (1629-1812), UK (1813-1870), and US (1871-2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time varying. In part, this variation is related to the business ...
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作者：Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, Lasse Heje; Vrugt, Evert B.
作者单位：New York University; Yale University; Copenhagen Business School; Vrije Universiteit Amsterdam; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We apply the concept of carry, which has been studied almost exclusively in currency markets, to any asset. A security's expected return is decomposed into its carry, an ex-ante and model-free characteristic, and its expected price appreciation. Carry predicts returns cross-sectionally and in time series for a host of different asset classes, including global equities, global bonds, commodities, US Treasuries, credit, and options. Carry is not explained by known predictors of returns from thes...
