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作者：Ewens, Michael; Jones, Charles M.; Rhodes-Kropf, Matthew
作者单位：Carnegie Mellon University; Columbia University; Harvard University; National Bureau of Economic Research
摘要：This paper demonstrates how the principal-agent problem between venture capitalists and their investors (limited partners) causes limited partner returns to depend on diversifiable risk. Our theory shows why the need for investors to motivate VCs alters the negotiations between VCs and entrepreneurs and changes how new firms are priced. The three-way interaction rationalizes the use of high discount rates by VCs and predicts a correlation between total risk and net of fee investor returns. We ...
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作者：Cohn, Jonathan B.; Rajan, Uday
作者单位：University of Texas System; University of Texas Austin; University of Michigan System; University of Michigan
摘要：We provide a model of governance in which a board arbitrates between an activist investor and a manager facing reputational concerns. The optimal level of internal board governance depends on both the severity of the agency conflict and the strength of external governance. Internal governance creates a certification effect, so greater intervention by the board can lead to worse managerial behavior. Internal and external governance are substitutes when external governance is weak (the board com...
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作者：Ortu, Fulvio; Tamoni, Andrea; Tebaldi, Claudio
作者单位：Bocconi University; University of London; London School Economics & Political Science; Bocconi University
摘要：We propose a decomposition for time series in components classified by levels of persistence. Employing this decomposition, we provide empirical evidence that consumption growth contains predictable components highly correlated with well-known proxies of consumption variability. These components generate a term-structure of sizable risk premia. At low frequencies we identify a component correlated with long-run productivity growth and commanding a yearly premium of approximately 2%. At high fr...
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作者：Kozhan, Roman; Neuberger, Anthony; Schneider, Paul
作者单位：University of Warwick; City St Georges, University of London; Universita della Svizzera Italiana
摘要：We develop a new method for measuring moment risk premiums. We find that the skew premium accounts for over 40% of the slope in the implied volatility curve in the S&P 500 market. Skew risk is tightly related to variance risk, in the sense that strategies designed to capture the one and hedge out exposure to the other earn an insignificant risk premium. This provides a new testable restriction for asset pricing models trying to capture, in particular, disaster risk premiums. We base our result...
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作者：Carrieri, Francesca; Chaieb, Ines; Errunza, Vihang
作者单位：McGill University; University of Geneva
摘要：Market liberalization may not result in full market integration if implicit barriers are important. We test this proposition for investable and non-investable segments of twenty-two emerging markets (EMs). We also measure the degree of integration for six major developed markets (DMs) as a meaningful benchmark. We find that while the DMs are close to fully integrated, both EM segments are not effectively integrated with the global economy. We quantify the importance of implicit barriers and sh...
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作者：Gennaioli, Nicola; Rossi, Stefano
作者单位：Bocconi University; Purdue University System; Purdue University
摘要：In a financial contracting model, we study the optimal debt structure to resolve financial distress. We show that a debt structure where two distinct debt classes coexist-one class fully concentrated and with control rights upon default, the other dispersed and without control rights-removes the controlling creditor's liquidation bias when investor protection is strong. These results rationalize the use and the performance of floating charge financing, which refers to debt financing where the ...
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作者：Lins, Karl V.; Volpin, Paolo; Wagner, Hannes F.
作者单位：Utah System of Higher Education; University of Utah; University of London; London Business School; Bocconi University
摘要：We study whether and how family control affects valuation and corporate decisions during the 2008-2009 financial crisis using a sample of more than 8,500 firms from 35 countries. We find that family-controlled firms underperform significantly, they cut investment more relative to other firms, and these investment cuts are associated with greater underperformance. Further, we find that within family groups liquidity shocks are passed on through investment cuts across the group. Our evidence is ...
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作者：Lou, Dong; Yan, Hongjun; Zhang, Jinfan
作者单位：University of London; London School Economics & Political Science; Yale University
摘要：We show that Treasury security prices in the secondary market decrease significantly in the few days before Treasury auctions and recover shortly thereafter, even though the time and amount of each auction are announced in advance. These results are linked to dealers' limited risk-bearing capacity and end-investors' imperfect capital mobility, highlighting the important role of frictions even in very liquid financial markets. Our results imply a hidden issuance cost to the U. S. Department of ...
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作者：Natividad, Gabriel
摘要：I provide a new characterization of internal capital markets in an emerging economy using daily divisional data on all Peruvian fish-processing firms. A regression discontinuity model exploiting government production bans on regulated divisions (fishmeal) shows that the increased investment in the nonfishmeal divisions due to the bans is substantial (over 30% of the mean value), after controlling for productivity. The redeployment of financial capacity into nonfishmeal investments is particula...
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作者：Shue, Kelly
作者单位：University of Chicago
摘要：Using the historical random assignment of MBA students to sections at Harvard Business School (HBS), I explore how executive peer networks can affect managerial decision making. Within an HBS class, firm outcomes are significantly more similar among graduates from the same section than among graduates from different sections, with the strongest effects in executive compensation and acquisitions strategy. I demonstrate the role of ongoing social interactions by showing that peer effects are mor...
