其他
学术快报 | Journal of Financial Economics2020年第1期目录及摘要
目录
摘要
Abstract: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 increase in uncertainty, which grew by 21.6% between 2002 and 2009. The model can account for more than one-third of the decline in residential investment between 2002 and 2009.Keywords:Investment,Housing,Real options
2.How do venture capitalists make decisions?Paul A. GompersGraduate School of Business Administration, Harvard University, Boston, MA 02163, USANational Bureau of Economic Research, 1050 Massachusetts Ave, Ste 32, Cambridge, MA 02138, USAWill Gornall Sauder School of Business, University of British Columbia, 2053 Main Mall, Vancouver, BC V6T 1Z2, CanadaSteven N. Kaplan University of Chicago Booth School of Business, 5807 S. Woodlawn Ave., Chicago, IL 60637, USANational Bureau of Economic Research, 1050 Massachusetts Ave, Ste 32, Cambridge, MA 02138, USA Ilya A. StrebulaevGraduate School of Business, Stanford University, 655 Knight Way, Stanford, CA 94305, USANational Bureau of Economic Research, 1050 Massachusetts Ave, Ste 32, Cambridge, MA 02138, USA
Abstract:We survey 885 institutional venture capitalists (VCs) at 681 firms to learn how they make decisions. Using the framework in Kaplan and Strömberg (2001), we provide detailed information on VCs’practices in pre-investment screening (sourcing evaluating and selecting investments), in structuring investments, and in post-investment monitoring and advising. In selecting investments, VCs see the management team as somewhat more important than business-related characteristics such as product or technology although there is meaningful cross-sectional variation across company stage and industry. VCs also attribute the ultimate investment success or failure more to the team than to the business. While deal sourcing, deal selection, and post-investment value-added all contribute to value creation, the VCs rate deal selection as the most important of the three. We compare our results to those for chief financial officers (Graham and Harvey, 2001) and private equity investors (Gompers et al., 2016a).Keywords:Venture capital, Value creation, Capital structure, Entrepreneurship
3.Squaring venture capital valuations with realityWill GornallUniversity of British Columbia, Sauder School of Business, 2053 Main Mall, Vancouver, BC V6T 1Z2, CanadaIlya A. StrebulaevStanford University, Graduate School of Business, 655 Knight Way, Stanford, CA 94305, USANational Bureau of Economic Research, 1050 Massachusetts Ave., Suite 32, Cambridge, MA 02138, USA
Abstract: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, which yields lower valuations because most unicorns gave recent investors major protections such as initial public offering (IPO) return guarantees (15%), vetoes over down-IPOs (24%), or seniority to all other investors (30%). Common shares lack all such protections and are 56% overvalued. After adjusting for these valuation-inflating terms, almost one-half (65 out of 135) of unicorns lose their unicorn status.Keywords:Venture capital, Valuation, Unicorns, Capital structure, Entrepreneurship
4.Anomalies across the globe: Once public, no longer existent?Heiko Jacobs University of Duisburg-Essen, Campus Essen, Essen 45117, GermanySebastian MüllerGerman Graduate School of Management and Law, Bildungscampus 2, Heilbronn 74076, Germany
Abstract:Motivated by McLean and Pontiff (2016), we study the pre- and post-publication return predictability of 241 cross-sectional anomalies in 39 stock markets. We find, based on more than two million anomaly country-months, that the United States is the only country with a reliable post-publication decline in long-short returns. Collectively, our meta-analysis of return predictors suggests that barriers to arbitrage trading can create segmented markets and that anomalies tend to represent mispricing instead of data mining.Keywords:Return predictability, International stock markets, Arbitrage, Publication impact, Anomalies
5.Exchanges of innovation resources inside venture capital portfoliosJuanita González-UribeLondon School of Economics, United Kingdom
Abstract:I explore the prevalence of exchanges of innovation resources inside venture capital portfolios. I show that after companies join investors’ portfolios, several proxies of exchanges between them and portfolio companies (relative to matched nonportfolio companies) increase by an average of 60%. The increase holds when joining events are plausibly exogenous and when VCs’ bargaining power and potential conflicts of interest are low. Three novel mechanisms are supported: carve-outs, spawning, and recycling, whereby entrepreneurs divest innovation units, start new ventures, and reuse assets in other portfolio companies, respectively. Results suggest that returns to innovation are higher in venture capital portfolios.Keywords:Venture capital portfolios,Innovation resources,State pension funds
6.Potential pilot problems: Treatment spillovers in financial regulatory experimentsEkkehart BoehmerLee Kong Chian School of Business, Singapore Management University, 50 Stamford Road, SingaporeCharles M. JonesColumbia Business School, Columbia University, 3022 Broadway, New York, NY 10027, USAXiaoyan ZhangPBC School of Finance, Tsinghua University, 43 Chengfu Road, Beijing, China
Abstract:The total effects of a regulatory change consist of direct effects and indirect effects (spillovers), but the standard difference-in-difference approach mostly ignores potential indirect effects. During the 2007 full repeal of the uptick rule, short-sellers become much more aggressive across the board, even in control stocks where the uptick rule is already suspended. This finding is consistent with positive and significant indirect effects on control stocks, likely driven by aggressive broad list-based shorting. In contract, the indirect effect coefficients on shorting aggressiveness are negative for the 2005 partial uptick repeal, possibly due to substitutions between control and treatment stocks.Keywords:Interference, Short sales, Aggressiveness, Tick test, Regulation SHO
7.Shorting flows, public disclosure, and market efficiencyXue WangaUniversity of International Business and Economics, School of Banking and Finance, Beijing, ChinaXuemin (Sterling) Yan University of Missouri, Trulaske College of Business, Columbia, MO 65211, USALehigh University, College of Business and Economics, Bethlehem, PA 18015, USALingling ZhengRenmin University of China, School of Business, Beijing, Chin
Abstract:Shorting flows remain a significant predictor of negative future stock returns during 2010–2015, when daily short-sale volume data are published in real time. This predictability decays slowly and lasts for a year. Long-term shorting flows are more informative than short-term shorting flows. Indeed, abnormal short-term shorting flows do not predict future returns or anticipate bad news. We find that short sellers exploit prominent anomalies. A comparison with the Regulation SHO data indicates that the predictability is much shorter-term during 2005–2007. Short sellers appear to have shifted from trading on short-term private information to trading on long-term public information that is gradually incorporated into prices.Keywords:Short sale,Public disclosure,Return predictability,Anomalies
8.Earnings, retained earnings, and book-to-market in the cross section of expected returnsRay BallUniversity of Chicago Booth School of Business, 5807 South Woodlawn Avenue, Chicago, IL 60637, USAJoseph GerakosTuck School of Business at Dartmouth College, 100 Tuck Hall, Hanover, NH 03775, USAJuhani T. Linnainmaa University of Southern California Marshall School of Business, 3670 Trousdale Parkway, Los Angeles, CA 90089, USANational Bureau of Economic Research, US Valeri NikolaevUniversity of Chicago Booth School of Business, 5807 South Woodlawn Avenue, Chicago, IL 60637, USA
Abstract:Book value of equity consists of two economically different components: retained earnings and contributed capital. We predict that book-to-market strategies work because the retained earnings component of the book value of equity includes the accumulation and, hence, the averaging of past earnings. Retained earnings-to-market predicts the cross section of average returns in U.S. and international data and subsumes book-to-market. Contributed capital-to-market has no predictive power. We show that retained earnings-to-market, and, by extension, book-to-market, predicts returns because it is a good proxy for underlying earnings yield (Ball, 1978; Berk, 1995) and not because book value represents intrinsic valueKeywords: Book-to-market, Contributed capital, Earnings yield, Mispricing,Retained earnings,Value premium
9.The job rating game: Revolving doors and analyst incentivesElisabeth KempfBooth School of Business, University of Chicago, 5807 S. Woodlawn Ave., Chicago, IL 60637, USA
Abstract: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 being hired by a bank. Both indicate that, as this likelihood rises, analyst accuracy improves. The findings suggest policymakers should consider incentive effects alongside capture concerns.Keywords:Revolving door, Career concerns, Analysts, Credit ratings, Securitized finance
10.Idea sharing and the performance of mutual fundsJulien CujeanCEPR, United KingdomInstitute for Financial Management, University of Bern, Office 214, Engehaldenstrasse 4, Bern CH - 3012, Switzerland
Abstract:I develop an equilibrium model to explain why few mutual fund managers consistently outperform, even though many have strong informational advantages. The key ingredient is that managers obtain investment ideas through idea sharing. Idea sharing improves statistical significance of alpha through increased price informativeness. But it also causes better informed managers to take larger positions, which makes their alpha noisier—although a significant fraction of managers builds strong informational advantages, statistical significance and persistence of alpha concentrate in underperforming funds. I argue that in-house development of ideas cannot explain these facts.Keywords:Idea sharing, Performance, Rational-expectations equilibrium
11.Dynamic interventions and informational linkagesLin William Cong University of Chicago Booth School of Business United StatesSteven R. GrenadierStanford University Graduate School of Business United StatesYunzhi HucUniversity of North Carolina Kenan-Flagler Business School United States
Abstract:We model a dynamic economy with strategic complementarity among investors and study how endogenous government interventions mitigate coordination failures. We establish equilibrium existence and uniqueness, and we show that one intervention can affect another through altering the public information structure. A stronger initial intervention helps subsequent interventions through increasing the likelihood of positive news, but also leads to negative conditional updates. Our results suggest optimal policy should emphasize initial interventions when coordination outcomes tend to correlate. Neglecting informational externalities of initial interventions results in over- or under-interventions. Moreover, saving smaller funds disproportionally more can generate greater informational benefits at smaller costs.Keywords:Coordination failures, Government intervention, Information design, Financial crisis, Global games, Learning
12.Providing liquidity in an illiquid market: Dealer behavior in US corporate bondsMichael A. GoldsteinBabson College, 320 Tomasso Hall, Babson Park, MA 02457, USAEdith S. HotchkissBoston College, Fulton Hall, Room 330, Chestnut Hill, MA 02467, USA
Abstract:We examine market making behavior of dealers for 55,988 corporate bonds, many of which trade infrequently. Dealers have a substantially higher propensity to offset trades within the same day rather than committing capital for longer periods for riskier and less actively traded bonds. Dealers’ holding periods do not decline with a bond's prior trading activity and in fact are lowest for some of the least active bonds. As a result, cross-sectional estimates of roundtrip trading costs do not increase as prior trading activity declines. Our results suggest that dealers endogenously adjust their behavior to mitigate inventory risk from trading in illiquid and higher risk securities, balancing search and inventory costs in equilibrium such that observed spreads can appear invariant to expected liquidity.Keywords:Liquidity provision, Dealer behavior, Corporate bonds, Illiquidity, Roundtrip costs
★学术板块荣誉出品★整理：马林 东北财经大学本科生编辑：孙玥 宁夏大学研究生审核：程慧煜 西安财经大学研究生副主编：孙玥 宁夏大学研究生指导：水皮/李高波 北京交通大学博士生
注：此次系列讲座，将在2019优秀会计学子暑期训练营群，实证会计与Stata训练营1、2、3期群进行同步直播，欢迎新老朋友收看。已进入我们网络会议室的小伙伴们，可继续收听这次及以后的直播分享，不用再获得进入门票啦！
END
声明：本文综合整理自《Journalof Financial Economics》，版权归原作者和原杂志所有。传播学术成果，见证学术力量，会计学术联盟在行动。感谢社会各界的支持与厚爱！