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作者：Chemmanur, Thomas J.; Fulghieri, Paolo
作者单位：Boston College; University of North Carolina; University of North Carolina Chapel Hill
摘要：The increasingly large role played by financial intermediaries, such as venture capitalists and angels, in nurturing entrepreneurial firms and in promoting product market innovation has led to great research interest in the area of entrepreneurial finance and innovation. This paper introduces the special issue of the Review of Financial Studies dedicated to entrepreneurial finance and innovation and highlights some of the promising topics for future research in this area. The special issue com...
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作者：Bond, Philip; Glode, Vincent
作者单位：University of Washington; University of Washington Seattle; University of Pennsylvania
摘要：We propose a labor market model in which agents with heterogenous ability levels choose to work as bankers or as financial regulators. When workers extract intrinsic benefits from working in regulation (such as public-sector motivation or human capital accumulation), our model jointly predicts that bankers are, on average, more skilled than regulators and their compensation is more sensitive to performance. During financial booms, banks draw the best workers away from the regulatory sector and...
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作者：Greenwood, Robin; Vayanos, Dimitri
作者单位：Harvard University; National Bureau of Economic Research
摘要：We examine empirically how the supply and maturity structure of government debt affect bond yields and expected returns. We organize our investigation around a term-structure model in which risk-averse arbitrageurs absorb shocks to the demand and supply for bonds of different maturities. These shocks affect the term structure because they alter the price of duration risk. Consistent with the model, we find that the maturity-weighted-debt-to-GDP ratio is positively related to bond yields and fu...
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作者：Acharya, Viral V.; Baghai, Ramin P.; Subramanian, Krishnamurthy V.
作者单位：Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Stockholm School of Economics; Indian School of Business (ISB)
摘要：We show that wrongful discharge laws-laws that protect employees against unjust dismissal-spur innovation and new firm creation. Wrongful discharge laws, particularly those that prohibit employers from acting in bad faith ex post, limit employers' ability to hold up innovating employees after the innovation is successful. By reducing the possibility of holdup, these laws enhance employees'innovative efforts and encourage firms to invest in risky but potentially mould-breaking projects. We deve...
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作者：Corradin, Stefano; Fillat, Jose L.; Vergara-Alert, Carles
作者单位：European Central Bank; Federal Reserve System - USA; Federal Reserve Bank - Boston; University of Navarra; IESE Business School
摘要：We develop and solve a model of optimal portfolio choice with transaction costs and predictability in house prices. We model house prices using a process with a time-varying expected growth rate. Housing adjustments are infrequent and characterized by both the wealth-to-housing ratio and the expected growth in house prices. We find that the housing portfolio share immediately after moving to a more valuable house is higher during periods of high expected growth in house prices. We also find th...
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作者：Goldstein, Itay; Li, Yan; Yang, Liyan
作者单位：University of Pennsylvania; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Toronto
摘要：We analyze a model in which traders have different trading opportunities and learn information from prices. The difference in trading opportunities implies that different traders may have different trading motives when trading in the same market-some trade for speculation and others for hedging-and thus they may respond to the same information in opposite directions. This implies that adding more informed traders may reduce price informativeness and therefore provides a source for learning com...
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作者：Buraschi, Andrea; Kosowski, Robert; Trojani, Fabio
作者单位：Imperial College London; University of Oxford; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：Using a novel data set on correlation swaps, we study the relation between correlation risk, hedge fund characteristics, and their risk-return profile. We find that the ability of hedge funds to create market-neutral returns is often associated with a significant exposure to correlation risk, which helps to explain the large abnormal returns found in previous models. We also estimate a significant negative market price of correlation risk, which accounts for the cross-section of hedge fund exc...
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作者：Jiang, Wei; Nelson, Ashlyn Aiko; Vytlacil, Edward
作者单位：Columbia University; Indiana University System; Indiana University Bloomington; New York University
摘要：This study examines the relation between securitization and loan performance using a comprehensive dataset from a major national mortgage lender. Loans remaining on the bank's balance sheet ex post incurred higher delinquency rates than sold loans, contrasting the negative relation between screening efforts and ex ante probability of loan sale explored by prior studies. Moreover, the performance gap between sold and retained loans was wider among the subsample of loans that were perceived as e...
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作者：Hori, Keiichi; Osano, Hiroshi
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作者：Lin, Chunmei; Massa, Massimo; Zhang, Hong
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; INSEAD Business School; Tsinghua University
摘要：We hypothesize that poor country-level governance, which makes public information less reliable, induces fund managers to increase their use of semipublic information. Utilizing data from international mutual funds and stocks over the 2000-2009 period, we find that semipublic information-related stock rebalancing can be five times higher in countries with the worst quality of governance than in countries with the best. The use of semipublic information increases price informativeness but also ...
