Essays in Financial Economics.
详细信息
文摘
This thesis consists of three essays in financial economics,where I apply asset pricing methods to study problems of innovation,investment and private equity financing. In the first essay,I study the implications of fluctuations in new firm creation across industries for asset prices and macroeconomic quantities. I write a general equilibrium model with heterogeneous industries,allowing for firm entry and time variation in markups. Firms entering an industry increase competition and displace incumbents monopoly rents. This mechanism is strongest in industries that exhibit high profit margins and high elasticity of innovation to the cost of entry. A positive shock to the aggregate cost of entry increases the marginal utility of consumption --- the price of entry risk is negative. Therefore,firms with more exposure to rents displacement have higher expected excess returns. In the second essay I use micro-level data on entry rates,I trace out the impact of firm creation on incumbent firms profitability and stock returns. The effect is strongest for the types of industries the model predicts. I confirm aggregate entry risk is priced: differential exposure to the aggregate entry shock explains a large fraction of the cross-industry variation in expected returns. In the third essay,co-authored with Valentin Haddad and Matthew Plosser,we argue that buyout waves form in response to fluctuations in aggregate discount rates. In our model,investors compare the potential privatized value of the firm to its public market value. We consider two economic channels that impact this trade-off: changes in cash-flow and changes in illiquidity. The cash-flow channel reflects the benefit of a buyout,as better firm management improves performance. The illiquidity channel is the cost； the ownership structure changes and the acquirer must hold a concentrated,undiversified position in the target. The model predicts that deal activity varies positively with the risk premium and negatively with the risk-free rate. In the cross-section,firms are less likely targets if they have a high market beta,residual variance,or cash-flow volatility. We confirm these predictions empirically using a panel data set of U.S. buyouts from 1982-2011. The results are robust to measures of credit market conditions. We find further support for the channels by estimating the heterogeneous effects of discount rates across firm types. Using structural restrictions implied by the model,we attribute 48% of the explained variation in activity to changes in the value of cash flow,and 13% to changes in the illiquidity premium. The remaining 39% comes from the positive correlation of the two channels,explaining the wave behavior of activity.