-
作者：Cong, Lin William; Xiao, Yizhou
作者单位：Cornell University; Chinese University of Hong Kong
摘要：Persistent performance in venture capital is routinely interpreted as evidence for skill. We present a dynamic model of delegated investment with endogenous fund heterogeneity and deal flow, which generates performance persistence without skill differences and predicts mean reversion in long-term performance. Investors working with multiple funds use contingent payments and tiered contracts to induce proper project nurturing and managerial effort. Successful funds receive continuation contract...
-
作者：Foroughi, Pouyan; Marcus, Alan J.; Nguyen, Vinh; Tehranian, Hassan
作者单位：York University - Canada; Boston College; University of Hong Kong
摘要：Firms in the same networks tend to have similar corporate governance practices. However, disentangling peer effects, where governance practices propagate from one firm to another, from selection effects, where firms with similar preferences self-select into linked groups, is difficult to do. Studying board-interlocked firms, we utilize the staggered adoption of universal demand laws across states to identify and estimate causal peer effects in governance policies. We find support for the exist...
-
作者：Bartram, Sohnke M.; Conrad, Jennifer; Lee, Jongsub; Subrahmanyam, Marti G.
作者单位：University of Warwick; Centre for Economic Policy Research - UK; University of North Carolina; University of North Carolina Chapel Hill; New York University; New York University; NYU Shanghai
摘要：We analyze the impact of the introduction of credit default swaps (CDSs) on real decision-making within the firm. Our structural model predicts that CDS introduction increases debt capacity more when uncertainty about the credit events that trigger CDS payment is lower. Using a sample of more than 56,000 firms across 51 countries, we find that CDSs increase leverage more in legal and market environments where uncertainty about CDS obligations is reduced and when property rights are weaker. Our...
-
作者：Colacito, Riccardo; Croce, Mariano M.; Liu, Yang; Shaliastovich, Ivan
作者单位：University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; Bocconi University; Bocconi University; University of Hong Kong; University of Wisconsin System; University of Wisconsin Madison
摘要：We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An increase in country's output volatility is associated with a decrease in its output, consumption, and net exports. The average consumption pass-through is 50% (a 1% increase in output volatility increases consumption volatility by 0.5%) and it increases to 70% for shocks originating in smaller countries. The equity ...
-
作者：Mian, Atif; Sufi, Amir
作者单位：Princeton University; National Bureau of Economic Research; University of Chicago
摘要：Credit supply expansion boosts housing speculation and amplifies the housing cycle. The surge in private-label mortgage securitization in 2003 fueled a large expansion in mortgage credit supply by lenders financed with noncore deposits. Areas more exposed to these lenders experienced a large relative rise in transaction volume driven by a small group of speculators, and these areas simultaneously witnessed an amplified housing boom and bust. Consistent with the importance of belief heterogenei...
-
作者：Houston, Joel F.; Shan, Hongyu
作者单位：State University System of Florida; University of Florida; Fordham University
摘要：We show that banking relationships promote corporate environmental, social, and governance (ESG) policies. Specifically, banks are more likely to grant loans to borrowers with ESG profiles similar to their own and positively influence the borrower's subsequent ESG performance. Their influence is more pronounced when (1) banks have significantly better ESG ratings than borrowers and (2) borrowers are bank dependent. We exploit M&A among lenders as a source of quasi-exogenous variation in the le...
-
作者：Hoberg, Gerard; Maksimovic, Vojislav
作者单位：University of Southern California; University System of Maryland; University of Maryland College Park
摘要：We develop a novel 10-K text-based model of product life cycles and examine firm investment policies. Conditioning on the life cycle substantially improves the power of q to explain investment and reveals a natural ordering of investments over the life cycle. While R&D and CAPX sensitivity are high early in the cycle, acquisitions arise as products mature, and divestitures and product extension investments arise as products decline. q-sensitivities that condition on the life cycle can vary by ...
-
作者：Buraschi, Andrea; Piatti, Ilaria; Whelan, Paul
作者单位：Imperial College London; University of London; Queen Mary University London; Copenhagen Business School
摘要：This paper proposes an aggregation scheme of subjective bond return expectations based on the historical accuracy of professional interest rate forecasters. We use disaggregated survey data on bond returns and document large disagreement in the cross-sectional distribution and persistence in forecast accuracy. Our aggregate subjective belief proxy outperforms equal weighting schemes, and its dynamics are significantly different from statistical forecasting models. With this measure in hand, we...
-
作者：Dou, Winston Wei; Ji, Yan; Wu, Wei
作者单位：University of Pennsylvania; Hong Kong University of Science & Technology; Texas A&M University System; Texas A&M University College Station
摘要：This paper proposes a novel quantitative framework with endogenous strategic competition in heterogeneous concentrated industries. Oligopolies compete strategically for profit margins in repeated games, trading off the benefits of future cooperation against those of reaping higher short-run profits by undercutting their rivals. Cross-industry dispersions in market leadership persistence and cash flow loadings on expected growth, as primitive characteristics, simultaneously determine the relati...
-
作者：Kuchler, Theresa; Li, Yan; Peng, Lin; Stroebel, Johannes; Zhou, Dexin
作者单位：New York University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Southwestern University of Finance & Economics - China; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We show that institutional investors are more likely to invest in firms from regions to which they have stronger social ties but find no evidence that these investments earn a differential return. Firms in regions with stronger social ties to locations with many institutional investors have higher valuations and liquidity. These effects are largest for small firms with little analyst coverage, suggesting that the investors' behavior is explained by their increased awareness of firms in sociall...
