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作者：Hellmann, Thomas; Thiele, Veikko
作者单位：University of Oxford; Queens University - Canada
摘要：This paper develops a theory of how angel and venture capital markets interact. Entrepreneurs first receive angel then venture capital funding. The two investor types are 'friends' in that they rely upon each other's investments. However, they are also 'foes,' because at the later stage the venture capitalists no longer need the angels. Using a costly search model we derive the equilibrium deal flows across the two markets, endogenously deriving market sizes, competitive structures, valuation ...
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作者：Aiken, Adam L.; Clifford, Christopher P.; Ellis, Jesse A.
作者单位：Quinnipiac University; University of Kentucky; North Carolina State University
摘要：We study hedge funds that imposed discretionary liquidity restrictions (DLRs) on investor shares during the financial crisis. DLRs prolong fund life, but impose liquidity costs on investors, creating a potential conflict of interest. Ostensibly, funds establish DLRs to limit performance-driven withdrawals that could force fire sales of illiquid assets. However, after they restrict investor liquidity, DLR funds do not reduce illiquid stock sales and underperform a control sample of non-DLR fund...
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作者：Hochberg, Yael V.; Lindsey, Laura A.; Westerfield, Mark M.
作者单位：Rice University; Arizona State University; Arizona State University-Tempe; University of Washington; University of Washington Seattle; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Ties between similar partners in economic and financial networks are often attributed to concerns about agency costs. In this paper, we distinguish the underlying motives for tie formation between sets of potential partners in the network, thus informing the relative importance of agency cost and resource accumulation in tie formation across firms. We develop a robust and generalizable methodology that allows for the inference of similarity and/or cumulative advantage motives in the potential ...
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作者：Albuquerque, Rui; Ramadorai, Tarun; Watugala, Sumudu W.
作者单位：Boston University; Universidade Catolica Portuguesa; Centre for Economic Policy Research - UK; European Corporate Governance Institute; University of Oxford; University of Oxford; Office of Financial Research; United States Department of the Treasury
摘要：We investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 43 countries from 1993 to 2009, we find that firms with high trade credit located in producer countries have stock returns that are strongly predictable based on the returns of their associated customer countries. This behavior is especially prevalent among firms with high levels of foreign sales. To better understand this effect we develop an asset pricin...
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作者：Acharya, Viral V.; Steffen, Sascha
作者单位：New York University; European School of Management & Technology
摘要：We show that eurozone bank risks during 2007-2013 can be understood as carry trade behavior. Bank equity returns load positively on peripheral (Greece, Italy, Ireland, Portugal, Spain, or GIIPS) bond returns and negatively on German government bond returns, which generated carry until the deteriorating GIIPS bond returns adversely affected bank balance sheets. We find support for risk-shifting and regulatory arbitrage motives at banks in that carry trade behavior is stronger for large banks an...
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作者：Durham, Garland; Geweke, John; Ghosh, Pulak
作者单位：California State University System; California Polytechnic State University San Luis Obispo; University of Technology Sydney; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Colorado State University System; Colorado State University Fort Collins; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore
摘要：Christoffersen, Jacobs, and Ornthanalai (2012) (CJO) propose an interesting and useful class of generalized autoregressive conditional heteroskedasticity (GARCH)-like models with dynamic jump intensity, and find evidence that the models not only fit returns data better than some commonly used benchmarks but also provide substantial improvements in option pricing performance. While such models pose difficulties for estimation and analysis, CJO propose an innovative approach to filtering intende...
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作者：Lyle, Matthew R.; Wang, Charles C. Y.
作者单位：Northwestern University; Harvard University
摘要：We provide a tractable model of firm-level expected holding period returns using two firm fundamentals-book-to-market ratio and return on equity-and study the cross-sectional properties of the model-implied expected returns. We find that firm-level expected returns and expected profitability are time-varying but highly persistent and that forecasts of holding period returns strongly predict the cross section of future returns up to three years ahead. We show a highly significant predictive poo...
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作者：Malenko, Andrey; Malenko, Nadya
作者单位：Massachusetts Institute of Technology (MIT); Boston College
摘要：We develop a theory of leveraged buyout (LBO) activity based on two elements: the ability of private equity-owned firms to borrow against their sponsors' reputation with creditors and externalities in sponsors' reputations due to competition and club formation. In equilibrium, the two sources of value creation in LBOs, operational improvements and financing, are complements. Moreover, sponsors that never add operational value cannot add value through financing either. Club deals are beneficial...
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作者：Krueger, Philipp
作者单位：University of Geneva; University of Geneva
摘要：Using a unique data set, I study how stock markets react to positive and negative events concerned with a firm's corporate social responsibility (CSR). I show that investors respond strongly negatively to negative events and weakly negatively to positive events. I then show that investors do value offsetting CSR, that is positive CSR news concerning firms with a history of poor stakeholder relations. In contrast, investors respond negatively to positive CSR news which is more likely to result ...
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作者：Borisova, Ginka; Fotak, Veljko; Holland, Kateryna; Megginson, William L.
作者单位：Iowa State University; State University of New York (SUNY) System; University at Buffalo, SUNY; Bocconi University; Purdue University System; Purdue University; University of Oklahoma System; University of Oklahoma - Norman
摘要：We investigate how government equity ownership in publicly traded firms affects the cost of corporate debt. Using a sample of bond credit spreads from 43 countries over 1991 2010, we find that government ownership is generally associated with a higher cost of debt, consistent with state-induced investment distortions, but is associated with a lower cost of debt during financial crises and for firms more likely to be distressed, when implicit government guarantees become the dominant effect. Ou...
