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作者：Piacentino, Giorgia
作者单位：Columbia University; Centre for Economic Policy Research - UK
摘要：I show that venture capitalists' motivation to build reputation can have beneficial effects in the primary market, mitigating information frictions and helping firms go public. Because uninformed reputation-motivated venture capitalists want to appear informed, they are biased against backing firms-by not backing firms, they avoid taking low-value firms to market, which would ultimately reveal their lack of information. In equilibrium, reputation-motivated venture capitalists back relatively f...
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作者：Doshi, Hitesh; Jacobs, Kris; Kumar, Praveen; Rabinovitch, Ramon
作者单位：University of Houston System; University of Houston
摘要：Building on theoretical asset pricing literature, we examine the role of market risk and the size, book-to-market (BTM), and volatility anomalies in the cross-section of unlevered equity returns. Compared with levered (stock) returns, unlevered market beta plays a more important role in explaining the cross-section of unlevered equity returns, even after controlling for size and BTM. The size effect is weakened, while the value premium and the volatility puzzle virtually disappear for unlevere...
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作者：van Kervel, Vincent; Menkveld, Albert J.
作者单位：Pontificia Universidad Catolica de Chile; Vrije Universiteit Amsterdam; Tinbergen Institute
摘要：Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading with the wind, that is, in the same direction. We find that HFTs initially lean against these orders but eventually change direction and take positions in the same direction for the most informed institutional orders. Our empirical findings are consistent with investors trading strategi...
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作者：Donaldson, Jason Roderick; Piacentino, Giorgia; Thakor, Anjan
作者单位：Washington University (WUSTL); Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：We use a labor-search model to explain why the worst employment slumps often follow expansions of household debt. We find that households protected by limited liability suffer from a household-debt-overhang problem that leads them to require high wages to work. Firms respond by posting high wages but few vacancies. This vacancy posting effect implies that high household debt leads to high unemployment. Even though households borrow from banks via bilaterally optimal contracts, the equilibrium ...
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作者：Bolton, Patrick; Wang, Neng; Yang, Jinqiang
作者单位：Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics
摘要：A risk-averse entrepreneur with access to a profitable venture needs to raise funds from investors. She cannot indefinitely commit her human capital to the venture, which limits the firm's debt capacity, distorts investment and compensation, and constrains the entrepreneur's risk sharing. This puts dynamic liquidity and state-contingent risk allocation at the center of corporate financial management. The firm balances mean-variance investment efficiency and the preservation of financial slack....
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作者：Richmond, Robert J.
作者单位：New York University
摘要：I uncover an economic source of exposure to global risk that drives international asset prices. Countries that are more central in the global trade network have lower interest rates and currency risk premia. To explain these findings, I present a general equilibrium model in which central countries' consumption growth is more exposed to global consumption growth shocks. This causes the currencies of central countries to appreciate in bad times, resulting in lower interest rates and currency ri...
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作者：Carpenter, Jennifer N.; Stanton, Richard; Wallace, Nancy
作者单位：New York University; University of California System; University of California Berkeley
摘要：We develop an empirical model of employee stock option exercise that is suitable for valuation and allows for behavioral channels. We estimate exercise rates as functions of option, stock, and employee characteristics using all employee exercises at 88 public firms, 27 of them in the S&P 500. Increasing vesting frequency from annual to monthly reduces option value by 11% to 16%. Men exercise faster, reducing value by 2% to 4%, while top employees exercise slower, increasing value by 2% to 7%. ...
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作者：Kondor, Peter; Vayanos, Dimitri
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：We develop a continuous-time model of liquidity provision in which hedgers can trade multiple risky assets with arbitrageurs. Arbitrageurs have constant relative risk-aversion (CRRA) utility, while hedgers' asset demand is independent of wealth. An increase in hedgers' risk aversion can make arbitrageurs endogenously more risk-averse. Because arbitrageurs generate endogenous risk, an increase in their wealth or a reduction in their CRRA coefficient can raise risk premia despite Sharpe ratios d...
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作者：Egan, Mark
作者单位：Harvard University
摘要：I study how brokers distort household investment decisions. Using a novel convertible bond data set, I find that consumers often purchase dominated bonds-cheap and expensive otherwise-identical bonds coexist in the market. Brokers are incentivized to sell the dominated bonds, typically earning two times greater fees for selling them. I develop and estimate a broker-intermediated search model that rationalizes this behavior. The estimates indicate that costly search is a key friction in financi...
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作者：Benhabib, Jess; Liu, Xuewen; Wang, Pengfei
作者单位：New York University; Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
摘要：We develop a model of informational interdependence between financial markets and the real economy, linking economic uncertainty to information production and aggregate economic activities in general equilibrium. The mutual learning between financial markets and the real economy creates a strategic complementarity in their information production, leading to self-fulfilling surges in economic uncertainties. In a dynamic setting, our model characterizes self-fulfilling uncertainty traps with two...
