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作者：Tian, Xuan; Wang, Tracy Yue
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; University of Minnesota System; University of Minnesota Twin Cities
摘要：Based on a sample of venture capital (VC)-backed IPO firms, we examine whether tolerance for failure spurs corporate innovation. We develop a novel measure of VC investors' failure tolerance by examining their willingness to continue investing in underperforming ventures. We find that IPO firms backed by more failure-tolerant VC investors are significantly more innovative and VC failure tolerance is particularly important for ventures that are subject to high failure risk. We show that these r...
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作者：Heyerdahl-Larsen, Christian
作者单位：University of London; London Business School
摘要：I introduce an external habit for each consumption good, known as deep habits, into an otherwise standard international equilibrium model with multiple consumption goods and multiple countries. I show that deep habits coupled with consumption home bias account for a wide range of asset pricing and exchange rate moments. Calibrated to a set of ten countries, the model reproduces the cross-sectional evidence on currency risk premiums when sorting on interest rates, interest rate volatility, inno...
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作者：Malmendier, Ulrike; Shanthikumar, Devin
作者单位：University of California System; University of California Berkeley; University of California System; University of California Irvine
摘要：Why do security analysts issue overly positive recommendations? We propose a novel approach to distinguish strategic motives (e.g., generating small-investor purchases and pleasing management) from nonstrategic motives (genuine overoptimism). We argue that nonstrategic distorters tend to issue both positive recommendations and optimistic forecasts, while strategic distorters speak in two tongues, issuing overly positive recommendations but less optimistic forecasts. We show that the incidence ...
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作者：David, Alexander; Veronesi, Pietro
作者单位：University of Calgary; University of Chicago; National Bureau of Economic Research
摘要：Shocks to equity options' implied volatility are followed by persistently lower short-term rates. Shocks to puts' over calls' out-of-the-money implied volatilities (P/C) are followed by persistently higher rates. Stock and Treasury bond implied volatilities, which measure market and policy uncertainty, are countercyclical, while P/C, which measures downside risk, is procyclical. An equilibrium model in which investors and the central bank learn about composite regimes of economic and policy va...
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作者：Greenwood, Robin; Shleifer, Andrei
作者单位：Harvard University; Harvard University
摘要：We analyze time series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market. However, investor expectations are strongly negatively correlated with model-based expected returns. The evidence is not consistent with rational expectations representative investor models of returns.
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作者：Bhamra, Harjoat S.; Uppal, Raman
作者单位：University of British Columbia; Imperial College London; Universite Catholique de Lille; EDHEC Business School
摘要：In this paper, we study asset prices in a dynamic, continuous-time, and general-equilibrium endowment economy in which agents have catching up with the Joneses utility functions and differ with respect to their beliefs (because of differences in priors) and their preference parameters for time discount, risk aversion, and sensitivity to habit. A key contribution of our paper is to demonstrate how one can obtain a closed-form solution to the consumption-sharing rule for agents who have both het...
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作者：Fang, Lily H.; Peress, Joel; Zheng, Lu
作者单位：University of California System; University of California Irvine
摘要：We study the relation between mutual fund trades and mass media coverage of stocks. We find that funds exhibit persistent differences in their propensity to buy media-covered stocks. Moreover, this propensity is negatively related to their future performance. Funds in the highest propensity decile underperform funds in the lowest propensity decile by 1.1% to 2.8% per year. These results do not extend to fund sells, likely because of funds' inability to sell short. Overall, the findings suggest...
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作者：Ahern, Kenneth R.; Duchin, Ran; Shumway, Tyler
作者单位：University of Southern California; University of Washington; University of Washington Seattle; University of Michigan System; University of Michigan
摘要：Existing evidence shows that risk aversion and trust are largely determined by environmental factors. We test whether one such factor is peer influence. Using random assignment of MBA students to peer groups and predetermined survey responses of economic attitudes, we find causal evidence of positive peer effects in risk aversion and no effects in trust. After the first year of the MBA program, the difference between an individual and her peers' average risk aversion has shrunk by 41%. Finding...
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作者：Roosenboom, Peter; Schlingemann, Frederik P.; Vasconcelos, Manuel
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Cornerstone Research
摘要：We test whether stock liquidity affects acquirer returns through its hypothesized effect on institutional monitoring. We find that firms with lower stock liquidity have higher acquirer gains for takeovers of private targets, but not for takeovers of public targets. The negative relation between liquidity and acquirer gains is stronger when the threat of disciplinary trading (exit) by institutions is weaker and acquirers have higher agency costs. Acquirers of private targets with lower stock li...
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作者：Dass, Nishant; Kini, Omesh; Nanda, Vikram; Onal, Bunyamin; Wang, Jun
作者单位：University System of Georgia; Georgia Institute of Technology; University System of Georgia; Georgia State University; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; Aalto University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We analyze the role of directors from related industries (DRIs) on a firm's board. DRIs are officers and/or directors of companies in the upstream/downstream industries of the firm. DRIs are more likely when the information gap vis-a-vis related industries is more severe or the firm has greater market power. DRIs have a significant impact on firm value/performance, especially when information problems are worse. Furthermore, DRIs help firms handle industry shocks and shorten their cash convers...
