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作者：Robinson, David T.; Sensoy, Berk A.
作者单位：Duke University; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：We study the relations between management contract terms and performance in private equity using new data for 837 funds from 1984-2010. We find no evidence that higher fees or lower managerial ownership are associated with lower net-of-fee performance. Nevertheless, compensation rises and shifts to performance-insensitive components during fundraising booms. Further, the behavior of distributions around contractual fee triggers is consistent with an underlying agency conflict between investors...
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作者：Choi, Jaewon
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper shows empirically how asset risk and financial leverage interact to explain the equity risk dynamics of value versus growth stocks. During economic downturns, the asset betas and leverage of value firms increase, contributing to a sharp rise in equity betas. Asset betas of growth firms are much less sensitive to economic conditions, and, consistent with the tradeoff theory of capital structure, growth firms are also less levered, contributing to the relative stability of their equit...
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作者：Hirshleifer, David; Schwert, G. William; Singleton, Kenneth J.
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作者：Marquez, Robert; Yavuz, M. Deniz
作者单位：University of California System; University of California Davis; Purdue University System; Purdue University
摘要：We analyze optimal financial contracts when the specificity of investments is endogenous. Specialization decreases the liquidation value of assets, but improves the asset's long-term productivity. While the former is known to make financing more difficult, we show that the latter can ease financing constraints and increase financing capacity by improving an entrepreneur's incentive to repay. The overall impact of specialization on the terms of financing depends on which effect is more importan...
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作者：Kogan, Leonid; Papanikolaou, Dimitris
作者单位：National Bureau of Economic Research
摘要：Average return differences among firms sorted on valuation ratios, past investment, profitability, market beta, or idiosyncratic volatility are largely driven by differences in exposures of firms to the same systematic factor related to embodied technology shocks. Using a calibrated structural model, we show that these firm characteristics are correlated with the ratio of growth opportunities to firm value, which affects firms' exposures to capital-embodied productivity shocks and risk premia....
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作者：Subrahmanyam, Avanidhar; Titman, Sheridan
作者单位：University of California System; University of California Los Angeles; University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with incumbent publicly traded firms and privately held new entrants. In this setting the equilibrium relation among stock prices and both future dividends and aggregate output depends on the strategic environment in which these firms operate. In general, under reasonable c...
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作者：Tiu, Cristian; Yoeli, Uzi
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：We develop a parsimonious model in which frictions in the labor market may turn small, continuous labor productivity declines into large drops in employment, endogenously causing disasters. Assuming one state variable and CRRA agents, we solve for prices in closed form, calibrate the model using labor market data, and show that this simple setting captures the high, countercyclical volatility and equity premium observed in the United States. Moreover, returns in our model are conditionally pre...
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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：Matvos, Gregor
作者单位：University of Chicago; National Bureau of Economic Research
摘要：I provide a revealed-preference-based framework that uses covenant prices and choices to quantitatively study how covenants generate firm benefits by completing debt contracts. I use a rational-expectations-based panel estimator of covenant prices, which does not require quasi-experimental variation, to circumvent the problem of endogenous covenant choices. I find that firms' surpluses exceed the spread paid on a loan. Leverage and interest-rate covenants produce the largest benefits, lending ...
