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作者：Gavazzoni, Federico; Santacreu, Ana Maria
作者单位：INSEAD Business School
摘要：We study the international propagation of long-run risk in the context of a general equilibrium model with endogenous growth. Innovation and international diffusion of technologies are the channels at the core of our mechanism. A calibrated version of the model matches several asset pricing and macroeconomic quantity moments, alleviating some of the puzzles highlighted in the international macro-finance literature. Our model predicts that country pairs that share more research and development ...
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作者：Gornall, Will; Strebulaev, Ilya A.
作者单位：University of British Columbia; Stanford University; National Bureau of Economic Research
摘要：We develop a valuation model for venture capital-backed companies and apply it to 135 US unicorns, that is, private companies with reported valuations above $1 billion. We value unicorns using financial terms from legal filings and find that reported unicorn post-money valuations average 48% above fair value, with 14 being more than 100% above. Reported valuations assume that all shares are as valuable as the most recently issued preferred shares. We calculate values for each share class, whic...
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作者：Azarmsa, Ehsan; Cong, Lin William
作者单位：University of Chicago; University of Chicago; Cornell University
摘要：After initial investments, relationship financiers routinely observe interim information about projects before continuing financing them. Meanwhile, entrepreneurs produce information endogenously and issue securities to incumbent insider and competitive outsider investors. In such persuasion games with differentially informed receivers and contingent transfers, entrepreneurs' endogenous experimentation reduces insiders' information monopoly but impedes relationship formation through an informa...
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作者：Opie, Wei; Riddiough, Steven J.
作者单位：Deakin University; University of Melbourne
摘要：We develop a novel method to dynamically hedge foreign exchange exposure in international equity and bond portfolios. The method exploits the time-series predictability of currency returns, which we show emerges from exploiting a forecastable component in global factor returns. The hedging strategy outperforms leading alternative approaches to currency hedging across a large set of performance metrics. Moreover, we find that exploiting currency return predictability via an independent currency...
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作者：Ozdagli, Ali; Velikov, Mihail
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We create a parsimonious monetary policy exposure (MPE) index based on observable firm characteristics that previous studies link to how stocks react to monetary policy. Our index successfully captures stocks' responses to both conventional and unconventional monetary policy. Stocks whose prices react more positively to expansionary monetary policy (high-MPE stocks) earn lower average returns. This result is consistent with the notion that high-MPE stocks provide a hedge against bad economic s...
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作者：Ai, Hengjie; Li, Kai; Yang, Fang
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Louisiana State University System; Louisiana State University
摘要：To understand the link between financial intermediation activities and the real economy, we build a general equilibrium model in which agency frictions in the financial sector affect the efficiency of capital reallocation across firms and generate aggregate economic fluctuations. We develop a recursive policy iteration approach to fully characterize the nonlinear equilibrium dynamics and the off-steady-state crisis behavior. In our model, adverse shocks to agency frictions exacerbate capital m...
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作者：Cederburg, Scott; O'Doherty, Michael S.; Wang, Feifei; (Sterling) Yan, Xuemin
作者单位：University of Arizona; University of Missouri System; University of Missouri Columbia; University System of Ohio; Miami University; Lehigh University
摘要：Using a comprehensive set of 103 equity strategies, we analyze the value of volatility-managed portfolios for real-time investors. Volatility-managed portfolios do not systematically outperform their corresponding unmanaged portfolios in direct comparisons. Consistent with Moreira and Muir (2017), volatility-managed portfolios tend to exhibit significantly positive alphas in spanning regressions. However, the trading strategies implied by these regressions are not implementable in real time, a...
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作者：Kempf, Elisabeth
作者单位：University of Chicago
摘要：Investment banks frequently hire analysts from rating agencies. While many argue that this revolving door creates captured analysts, it can also create incentives to improve accuracy. To study this issue, I construct an original data set, linking analysts to their career paths and the securitized finance ratings they issue. First, I show that accurate analysts are more frequently hired by underwriting investment banks. Second, I exploit two distinct sources of variation in the likelihood of be...
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作者：Oh, Hyunseung; Yoon, Chamna
作者单位：Vanderbilt University
摘要：A standard real-options model predicts that time-to-build investment could be delayed by uncertainty over future revenue. We quantify the first-order importance of this mechanism in the 2002-2011 housing boom-bust cycle by developing and estimating a model of sequential irreversible investment with stochastic bottlenecks. We find that the main driver of construction delays during the boom is construction bottlenecks. However, further delay in construction during the bust is caused by an increa...
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作者：Hennessy, Christopher A.; Kasahara, Akitada; Strebulaev, Ilya A.
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute; University of Osaka; Stanford University; National Bureau of Economic Research
摘要：Absent theoretical guidance, empiricists have been forced to rely upon numerical comparative statics from constant tax rate models in formulating testable implications of tradeoff theory in the context of natural experiments. We fill the theoretical void by solving in closed-form a dynamic tradeoff theoretic model in which corporate taxes follow a Markov process with exogenous rate changes. We simulate ideal difference-in-differences estimations, finding that constant tax rate models offer poo...
