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作者：Puri, Manju; Zarutskie, Rebecca
作者单位：Duke University; National Bureau of Economic Research
摘要：We use data over 25 years to understand the life cycle dynamics of VC- and non-VC-financed firms. We find successful and failed VC-financed firms achieve larger scale but are not more profitable at exit than matched non-VC-financed firms. Cumulative failure rates of VC-financed firms are lower, with the difference driven largely by lower failure rates in the initial years after receiving VC. Our results are not driven by VCs disguising failures as acquisitions or by certain types of VCs. The p...
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作者：DeMarzo, Peter M.; Fishman, Michael J.; He, Zhiguo; Wang, Neng
作者单位：Stanford University; Northwestern University; University of Chicago; Columbia University
摘要：We develop an analytically tractable model integrating dynamic investment theory with dynamic optimal incentive contracting, thereby endogenizing financing constraints. Incentive contracting generates a history-dependent wedge between marginal and average q, and both vary over time as good (bad) performance relaxes (tightens) financing constraints. Financial slack, not cash flow, is the appropriate proxy for financing constraints. Investment decreases with idiosyncratic risk, and is positively...
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作者：Collin-Dufresne, Pierre; Goldstein, Robert S.; Yang, Fan
作者单位：Columbia University; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; University of Hong Kong
摘要：We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term structure of credit spreads. We find that all tranches can be well priced out-of-sample before the crisis. During the crisis, however, our model can capture senior tranche prices only if we allow for the possibility of a catastrophic jump. T...
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作者：Jotikasthira, Chotibhak; Lundblad, Christian; Ramadorai, Tarun
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Oxford
摘要：We identify a new channel for the transmission of shocks across international markets. Investor flows to funds domiciled in developed markets force significant changes in these funds emerging market portfolio allocations. These forced trades or fire sales affect emerging market equity prices, correlations, and betas, and are related to but distinct from effects arising purely from fund holdings or from overlapping ownership of emerging markets in fund portfolios. A simple model and calibration...
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作者：Franzoni, Francesco; Nowak, Eric; Phalippou, Ludovic
作者单位：Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of Oxford; University of Oxford
摘要：Private equity has traditionally been thought to provide diversification benefits. However, these benefits may be lower than anticipated as we find that private equity suffers from significant exposure to the same liquidity risk factor as public equity and other alternative asset classes. The unconditional liquidity risk premium is about 3% annually and, in a four-factor model, the inclusion of this liquidity risk premium reduces alpha to zero. In addition, we provide evidence that the link be...
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作者：He, Jie (Jack); Qian, Jun (QJ); Strahan, Philip E.
作者单位：University System of Georgia; University of Georgia; Boston College; National Bureau of Economic Research
摘要：Initial yields on both AAA-rated and non-AAA rated mortgage-backed security (MBS) tranches sold by large issuers are higher than yields on similar tranches sold by small issuers during the market boom years of 2004 to 2006. Moreover, the prices of MBS sold by large issuers drop more than those sold by small issuers, and the differences are concentrated among tranches issued during 2004 to 2006. These results suggest that investors price the risk that large issuers received more inflated rating...
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作者：Favara, Giovanni; Schroth, Enrique; Valta, Philip
作者单位：International Monetary Fund; University of Amsterdam; Hautes Etudes Commerciales (HEC) Paris
摘要：We show that the prospect of a debt renegotiation favorable to shareholders reduces the firms equity risk. Equity beta and return volatility are lower in countries where the bankruptcy code favors debt renegotiations and for firms with more shareholder bargaining power relative to debt holders. These relations weaken as the countrys insolvency procedure favors liquidations over renegotiations. In the limit, when debt contracts cannot be renegotiated, equity risk is independent of shareholders ...
