1.动态干预和信息的关联
1.动态干预和信息的关联
作者构建了一个动态的经济模型并且研究了内生的政府干预如何减少合作失败，该模型包含投资者之间的策略性互补。作者证实了均衡的存在和唯一性，并且展示了通过改变公共信息结构，一个干预可以影响另一个干预。一个更强的初始干预通过增加正向新闻的可能性可以帮到之后的干预，但是更强的初始干预也导致了负向的条件更新。结果显示：在合作结果倾向于相关时，最优政策应该强调初始干预。忽视初始干预的信息外部性会导致干预过度或不足。另外，相对更多地拯救小型基金可以用更少的成本产生更多的信息好处。
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.
参考文献：Cong, Lin William, Steven R. Grenadier, and Yunzhi Hu. "Dynamic interventions and informational linkages." Journal of Financial Economics 135.1 (2020): 1-15.
2.在一个不流动的市场提供流动性：美国公司债券的做市商行为
作者检查了做市商对55988个公司债券的做市行为，其中很多债券很少交易。对于风险较高且交易不活跃的债券，做市商明显更倾向在同一天内平仓交易，而不是投入资金更久。做市商的持有期不会随债券之前交易活跃度的上升而下降，实际上，一些交易最不活跃的债券的持有期是最短的。因此，来回交易成本的截面估计不会随之前交易活跃度的下降而增加。结果显示：做市商内生地调整他们的行为来减少存货风险，该风险来自交易不流动且高风险的证券。做市商的调整行为平衡寻找成本和存货成本在均衡状态，使得观察到的息差（spread）看起来和预期的流动性无关。
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.
参考文献：Goldstein, Michael A., and Edith S. Hotchkiss. "Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds." Journal of Financial Economics 135.1 (2020): 16-40.
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3.工作评级游戏：旋转门和分析员激励
投资银行经常雇佣来自评级机构的分析员。虽然很多人认为这种“旋转门”导致了宽容的分析员，但是它也创造了提高准确度的激励。为了研究这个问题，作者构建了一个原始数据库，它连接了分析员的职业路径和他们发布的证券化金融评级。首先，作者展示了承销投资银行会更频繁地聘请准确的分析师。其次，在银行雇佣的可能性上，作者挖掘了两个不同的变化来源。两个来源都显示：随着这个可能性的增加，分析员的准确度提高了。这些发现说明政策制定者除了宽容效应（capture effect）外还应该考虑激励效应。
旋转门（revolving door）：被监管行业从监管者中招聘。比如银行监管者加入金融机构，风控人员加入交易部门，分析员加入被评级的机构。
Capture effect：监管者因为期望从未来雇主那里获得回报因而表现得宽容仁慈。
Incentive effect：为了之后被雇佣，监管者有激励去提高其作为监管者的专业水平。
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.
参考文献：Kempf, Elisabeth. "The job rating game: Revolving doors and analyst incentives." Journal of Financial Economics 135.1 (2020): 41-67.
4.潜在的试点问题：金融监管实验中的处理溢出
改变一个监管政策的总影响包含直接影响和间接影响（溢出），但大多数时候，标准的双重差分法忽视了潜在的间接影响。在2007年完全废除uptick rule后，卖空者对所有股票都变得明显更激进，即使在对照组股票上也是如此(对照组股票在2005年就不受限于uptick rule)。这个发现说明:对照股票受到了正向且重大的间接影响，这些影响可能是由激进的整体清单式卖空（broad list-based shorting）造成的。相反，2005年对部分股票废除uptick rule后，对照股票受到了负向的间接影响，即卖空者在对照股票上的激进程度下降，这可能是因为卖空者放弃对照组股票，转而选择处理组股票。
Uptick rule的废除分为两个阶段：2005年监管机构随机选择了一部分股票，对这些股票废除uptick rule，此时对照组是未被废除uptick rule的股票；2007年uptick rule完全被废除，此时对照组是2005年就被废除uptick rule的股票。
Broad stock portfolios：比如股市指数
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.
参考文献：Boehmer, Ekkehart, Charles M. Jones, and Xiaoyan Zhang. "Potential pilot problems: Treatment spillovers in financial regulatory experiments." Journal of Financial Economics 135.1 (2020): 68-87.
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5.点子分享和共同基金的表现
作者建立了一个均衡模型来解释为什么很少有基金经理始终优于别人，即使很多人有强大的信息优势。关键因素是这些经理通过点子分享来获得投资想法。点子分享通过增加价格的信息量来提高alpha的统计显著性。但是点子分享也导致更消息灵通的经理建立更大的仓位，这使得他们的alpha噪声更大——尽管很大一部分的经理建立了强大的信息优势，alpha的统计显著性和持续性集中在表现较差的基金。一种相反观点是经理只在机构内部开发点子而不会分享，作者认为这种观点无法解释这些事实。
Alpha：指一个经理相对平均经理的收益率产生的收益率。
Noise：运气成分
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.
参考文献：Cujean, Julien. "Idea sharing and the performance of mutual funds." Journal of Financial Economics 135.1 (2020): 88-119.
6.风险资本投资组合内部的创意资源交换
作者探索了风险资本资产组合内部盛行的创意资源交换。在公司加入投资者的资产组合后，代理变量（相对于匹配的非资产组合公司）平均增加了60%，这些代理变量代表的是公司和资产组合公司之间的交换。当加入行为是外生的或者风险资本的议价能力和潜在的利益冲突很低时，这个增加仍然成立。三种新的机制被支持：分割，孵化和再循环，分别表示企业剥离创新单元，开创新企业和重复使用其他资产组合公司的资产。结果显示创新的回报在风险资本资产组合中更高。
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.
参考文献：González-Uribe, Juanita. "Exchanges of innovation resources inside venture capital portfolios." Journal of Financial Economics 135.1 (2020): 144-168.
7.使风险资本估值和现实一致
对于由风险资本支持的公司，作者为其建立了估值模型并将模型运用于135家美国的独角兽公司（独角兽公司即公布的估值超过十亿美金的私企）。作者利用法律文件中的金融条款对独角兽公司估值，并发现公布的融资后估值（post-money valuation）平均高于公允价值（fair value）48%，其中14家超过100%。公布的估值在计算时假设所有股份与最近发行的优先股价值相同。作者计算了每种股份类别的价值，这样得出了更低的估值，因为大部分独角兽公司给最近的投资者很多保护，例如首次公开募股（IPO）回报保证（15%），否决IPO（24%），或者优先于所有其他投资者（30%）。普通股缺乏所有这些保护并被高估了56%。根据这些使估值过高的条款做了调整后，接近一半（65/135）的独角兽公司失去了其独角兽身份。
post-money valuation：最近一轮融资时的每股价格乘上完全稀释后的普通股数量。
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.
参考文献：Gornall, Will, and Ilya A. Strebulaev. "Squaring venture capital valuations with reality." Journal of Financial Economics 135.1 (2020): 120-143.
8.风险资本家如何做决策？
为了解风险资本家（风投者）如何做决策，作者在681家公司中调查了885个机构型的风投者。利用Kaplan and Strömberg (2001)的框架，作者对风投者在三个阶段的行为提供了详细的信息，三个阶段分别是投资前的筛选（来源评估和选择投资）、构建投资和投资后的监管及建议。在选择投资时，相比和生意有关的特征，比如产品或技术，风投者更看重管理团队，尽管在不同的公司阶段和行业之间程度不同。风投者也会把最终的成功或失败更多地归因于团队而不是生意。尽管投资的来源、挑选和投资后的增值都促进价值创造，风投者认为投资的挑选是这三个中最重要的。作者把其结果和那些研究首席财务官(Graham and Harvey, 2001)和私募股权投资者(Gompers et al., 2016a)的结果进行了比较。
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).
参考文献：Gompers, Paul A., et al. "How do venture capitalists make decisions?." Journal of Financial Economics 135.1 (2020): 169-190.
9.卖空量，公开披露和市场效率
2010-2015时期，每天的卖空数量被实时公布，此时卖空量是未来股票负回报率的一个重要预测因子。这个预测衰减缓慢并会持续一年。长期的卖空量比短期的包含更多信息。实际上，异常的短期卖空量不会预测未来的回报或者预期坏消息。作者发现卖空者利用了突出的异象。和Regulation SHO数据的对比显示：2005-2007年期间的预测更短期。卖空者似乎已经从依靠短期私人信息交易转为依靠长期公开信息交易，该信息会逐步整合到价格中。
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.
参考文献：Wang, Xue, Xuemin Sterling Yan, and Lingling Zheng. "Shorting flows, public disclosure, and market efficiency." Journal of Financial Economics 135.1 (2020): 191-212.
10.全球的异象：一旦公开，就不再存在？
受McLean and Pontiff (2016)激励，作者研究了39个股票市场中241个截面异象公开前和公开后的收益率预测能力。基于超过两百万个国家-月份的异象数据，作者发现：在异象公开后，只有美国的做多-做空回报一定会下降。整体来看，作者对回报预测因子的元分析认为：阻碍套利交易会创造分割的市场，并且异象往往代表错误定价，而不是数据挖掘。
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.
参考文献：Jacobs, Heiko, and Sebastian Müller. "Anomalies across the globe: Once public, no longer existent?." Journal of Financial Economics 135.1 (2020): 213-230.
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11.截面预期回报率中的收入，留存收益和账面市值比
股份的账面价值由两个不同的经济成分构成：留存收益和实缴资本。作者预测：账面市值比策略之所以有效，是因为账面价值中的留存收益部分包含过去收入的累计和平均。留存收益市值比预测了美国和国际数据的平均回报率的横截面，并且包含了账面市值比。实缴资本市值比没有预测能力。留存收益市值比和相关的账面市值比预测了回报率，因为它是收入的一个好的代理量(Ball, 1978; Berk, 1995)，而不是因为账面价值代表了内在价值。
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 value.
参考文献：Ball, Ray, et al. "Earnings, retained earnings, and book-to-market in the cross section of expected returns." Journal of Financial Economics 135.1 (2020): 231-254.
12.住宅投资的建造时长和实物期权渠道
一个标准的实物期权模型预测：对未来收入的不确定可能延长住宅投资的建造时长。作者通过建立和估计带有随机瓶颈的序贯不可逆投资模型，量化了这个机制在2002-2011年房屋繁荣萧条周期中的一等重要性。作者发现繁荣时期建造推迟的主要原因是建造瓶颈。但是萧条时期的建造推迟是由不确定性的增加导致的，2002-2009期间不确定性增加了21.6%。对于2002-2009期间的住房投资减少，该模型可以解释33%以上。
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.
参考文献：Oh, Hyunseung, and Chamna Yoon. "Time to build and the real-options channel of residential investment." Journal of Financial Economics 135.1 (2020): 255-269.
作者构建了一个动态的经济模型并且研究了内生的政府干预如何减少合作失败，该模型包含投资者之间的策略性互补。作者证实了均衡的存在和唯一性，并且展示了通过改变公共信息结构，一个干预可以影响另一个干预。一个更强的初始干预通过增加正向新闻的可能性可以帮到之后的干预，但是更强的初始干预也导致了负向的条件更新。结果显示：在合作结果倾向于相关时，最优政策应该强调初始干预。忽视初始干预的信息外部性会导致干预过度或不足。另外，相对更多地拯救小型基金可以用更少的成本产生更多的信息好处。
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.
参考文献：Cong, Lin William, Steven R. Grenadier, and Yunzhi Hu. "Dynamic interventions and informational linkages." Journal of Financial Economics 135.1 (2020): 1-15.
2.在一个不流动的市场提供流动性：美国公司债券的做市商行为
作者检查了做市商对55988个公司债券的做市行为，其中很多债券很少交易。对于风险较高且交易不活跃的债券，做市商明显更倾向在同一天内平仓交易，而不是投入资金更久。做市商的持有期不会随债券之前交易活跃度的上升而下降，实际上，一些交易最不活跃的债券的持有期是最短的。因此，来回交易成本的截面估计不会随之前交易活跃度的下降而增加。结果显示：做市商内生地调整他们的行为来减少存货风险，该风险来自交易不流动且高风险的证券。做市商的调整行为平衡寻找成本和存货成本在均衡状态，使得观察到的息差（spread）看起来和预期的流动性无关。
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.
参考文献：Goldstein, Michael A., and Edith S. Hotchkiss. "Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds." Journal of Financial Economics 135.1 (2020): 16-40.
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3.工作评级游戏：旋转门和分析员激励
投资银行经常雇佣来自评级机构的分析员。虽然很多人认为这种“旋转门”导致了宽容的分析员，但是它也创造了提高准确度的激励。为了研究这个问题，作者构建了一个原始数据库，它连接了分析员的职业路径和他们发布的证券化金融评级。首先，作者展示了承销投资银行会更频繁地聘请准确的分析师。其次，在银行雇佣的可能性上，作者挖掘了两个不同的变化来源。两个来源都显示：随着这个可能性的增加，分析员的准确度提高了。这些发现说明政策制定者除了宽容效应（capture effect）外还应该考虑激励效应。
旋转门（revolving door）：被监管行业从监管者中招聘。比如银行监管者加入金融机构，风控人员加入交易部门，分析员加入被评级的机构。
Capture effect：监管者因为期望从未来雇主那里获得回报因而表现得宽容仁慈。
Incentive effect：为了之后被雇佣，监管者有激励去提高其作为监管者的专业水平。
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.
参考文献：Kempf, Elisabeth. "The job rating game: Revolving doors and analyst incentives." Journal of Financial Economics 135.1 (2020): 41-67.
4.潜在的试点问题：金融监管实验中的处理溢出
改变一个监管政策的总影响包含直接影响和间接影响（溢出），但大多数时候，标准的双重差分法忽视了潜在的间接影响。在2007年完全废除uptick rule后，卖空者对所有股票都变得明显更激进，即使在对照组股票上也是如此(对照组股票在2005年就不受限于uptick rule)。这个发现说明:对照股票受到了正向且重大的间接影响，这些影响可能是由激进的整体清单式卖空（broad list-based shorting）造成的。相反，2005年对部分股票废除uptick rule后，对照股票受到了负向的间接影响，即卖空者在对照股票上的激进程度下降，这可能是因为卖空者放弃对照组股票，转而选择处理组股票。
Uptick rule的废除分为两个阶段：2005年监管机构随机选择了一部分股票，对这些股票废除uptick rule，此时对照组是未被废除uptick rule的股票；2007年uptick rule完全被废除，此时对照组是2005年就被废除uptick rule的股票。
Broad stock portfolios：比如股市指数
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.
参考文献：Boehmer, Ekkehart, Charles M. Jones, and Xiaoyan Zhang. "Potential pilot problems: Treatment spillovers in financial regulatory experiments." Journal of Financial Economics 135.1 (2020): 68-87.
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5.点子分享和共同基金的表现
作者建立了一个均衡模型来解释为什么很少有基金经理始终优于别人，即使很多人有强大的信息优势。关键因素是这些经理通过点子分享来获得投资想法。点子分享通过增加价格的信息量来提高alpha的统计显著性。但是点子分享也导致更消息灵通的经理建立更大的仓位，这使得他们的alpha噪声更大——尽管很大一部分的经理建立了强大的信息优势，alpha的统计显著性和持续性集中在表现较差的基金。一种相反观点是经理只在机构内部开发点子而不会分享，作者认为这种观点无法解释这些事实。
Alpha：指一个经理相对平均经理的收益率产生的收益率。
Noise：运气成分
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.
参考文献：Cujean, Julien. "Idea sharing and the performance of mutual funds." Journal of Financial Economics 135.1 (2020): 88-119.
6.风险资本投资组合内部的创意资源交换
作者探索了风险资本资产组合内部盛行的创意资源交换。在公司加入投资者的资产组合后，代理变量（相对于匹配的非资产组合公司）平均增加了60%，这些代理变量代表的是公司和资产组合公司之间的交换。当加入行为是外生的或者风险资本的议价能力和潜在的利益冲突很低时，这个增加仍然成立。三种新的机制被支持：分割，孵化和再循环，分别表示企业剥离创新单元，开创新企业和重复使用其他资产组合公司的资产。结果显示创新的回报在风险资本资产组合中更高。
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.
参考文献：González-Uribe, Juanita. "Exchanges of innovation resources inside venture capital portfolios." Journal of Financial Economics 135.1 (2020): 144-168.
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7.使风险资本估值和现实一致
对于由风险资本支持的公司，作者为其建立了估值模型并将模型运用于135家美国的独角兽公司（独角兽公司即公布的估值超过十亿美金的私企）。作者利用法律文件中的金融条款对独角兽公司估值，并发现公布的融资后估值（post-money valuation）平均高于公允价值（fair value）48%，其中14家超过100%。公布的估值在计算时假设所有股份与最近发行的优先股价值相同。作者计算了每种股份类别的价值，这样得出了更低的估值，因为大部分独角兽公司给最近的投资者很多保护，例如首次公开募股（IPO）回报保证（15%），否决IPO（24%），或者优先于所有其他投资者（30%）。普通股缺乏所有这些保护并被高估了56%。根据这些使估值过高的条款做了调整后，接近一半（65/135）的独角兽公司失去了其独角兽身份。
post-money valuation：最近一轮融资时的每股价格乘上完全稀释后的普通股数量。
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.
参考文献：Gornall, Will, and Ilya A. Strebulaev. "Squaring venture capital valuations with reality." Journal of Financial Economics 135.1 (2020): 120-143.
8.风险资本家如何做决策？
为了解风险资本家（风投者）如何做决策，作者在681家公司中调查了885个机构型的风投者。利用Kaplan and Strömberg (2001)的框架，作者对风投者在三个阶段的行为提供了详细的信息，三个阶段分别是投资前的筛选（来源评估和选择投资）、构建投资和投资后的监管及建议。在选择投资时，相比和生意有关的特征，比如产品或技术，风投者更看重管理团队，尽管在不同的公司阶段和行业之间程度不同。风投者也会把最终的成功或失败更多地归因于团队而不是生意。尽管投资的来源、挑选和投资后的增值都促进价值创造，风投者认为投资的挑选是这三个中最重要的。作者把其结果和那些研究首席财务官(Graham and Harvey, 2001)和私募股权投资者(Gompers et al., 2016a)的结果进行了比较。
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).
参考文献：Gompers, Paul A., et al. "How do venture capitalists make decisions?." Journal of Financial Economics 135.1 (2020): 169-190.
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9.卖空量，公开披露和市场效率
2010-2015时期，每天的卖空数量被实时公布，此时卖空量是未来股票负回报率的一个重要预测因子。这个预测衰减缓慢并会持续一年。长期的卖空量比短期的包含更多信息。实际上，异常的短期卖空量不会预测未来的回报或者预期坏消息。作者发现卖空者利用了突出的异象。和Regulation SHO数据的对比显示：2005-2007年期间的预测更短期。卖空者似乎已经从依靠短期私人信息交易转为依靠长期公开信息交易，该信息会逐步整合到价格中。
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.
参考文献：Wang, Xue, Xuemin Sterling Yan, and Lingling Zheng. "Shorting flows, public disclosure, and market efficiency." Journal of Financial Economics 135.1 (2020): 191-212.
10.全球的异象：一旦公开，就不再存在？
受McLean and Pontiff (2016)激励，作者研究了39个股票市场中241个截面异象公开前和公开后的收益率预测能力。基于超过两百万个国家-月份的异象数据，作者发现：在异象公开后，只有美国的做多-做空回报一定会下降。整体来看，作者对回报预测因子的元分析认为：阻碍套利交易会创造分割的市场，并且异象往往代表错误定价，而不是数据挖掘。
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.
参考文献：Jacobs, Heiko, and Sebastian Müller. "Anomalies across the globe: Once public, no longer existent?." Journal of Financial Economics 135.1 (2020): 213-230.
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11.截面预期回报率中的收入，留存收益和账面市值比
股份的账面价值由两个不同的经济成分构成：留存收益和实缴资本。作者预测：账面市值比策略之所以有效，是因为账面价值中的留存收益部分包含过去收入的累计和平均。留存收益市值比预测了美国和国际数据的平均回报率的横截面，并且包含了账面市值比。实缴资本市值比没有预测能力。留存收益市值比和相关的账面市值比预测了回报率，因为它是收入的一个好的代理量(Ball, 1978; Berk, 1995)，而不是因为账面价值代表了内在价值。
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 value.
参考文献：Ball, Ray, et al. "Earnings, retained earnings, and book-to-market in the cross section of expected returns." Journal of Financial Economics 135.1 (2020): 231-254.
12.住宅投资的建造时长和实物期权渠道
一个标准的实物期权模型预测：对未来收入的不确定可能延长住宅投资的建造时长。作者通过建立和估计带有随机瓶颈的序贯不可逆投资模型，量化了这个机制在2002-2011年房屋繁荣萧条周期中的一等重要性。作者发现繁荣时期建造推迟的主要原因是建造瓶颈。但是萧条时期的建造推迟是由不确定性的增加导致的，2002-2009期间不确定性增加了21.6%。对于2002-2009期间的住房投资减少，该模型可以解释33%以上。
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.
参考文献：Oh, Hyunseung, and Chamna Yoon. "Time to build and the real-options channel of residential investment." Journal of Financial Economics 135.1 (2020): 255-269.
解析作者: 菜菜