POL: Resource Financing Strategies (Topic)最新文献

{"title":"Strategic Decertification in Venture Capital","authors":"Pierre Mella-Barral","doi":"10.2139/ssrn.2081603","DOIUrl":"https://doi.org/10.2139/ssrn.2081603","url":null,"abstract":"Early round VC syndicates can strategically threaten not to participate in a follow-on round of financing. The negative signal their non-pursued certification would send to alternative syndicates reduces the value of the entrepreneur's reservation strategy in the later round. In competitive early rounds, syndicates with highest expertise often cannot fully precommit against doing so in later rounds and become unattractive to entrepreneurs. Strategic decertification drives syndicate composition towards heterogeneity in expertise levels, which acts as a precommitment device. A large scale empirical analysis of VC investments finds that syndicates start out with higher levels of heterogeneity in early rounds and tend towards homogeneity in later rounds. This is inconsistent with previous theories of syndicate formation but consistent with strategic decertification.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127086930","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Portfolio Selection with Multiple Spectral Risk Constraints","authors":"Carlos Abad, G. Iyengar","doi":"10.2139/ssrn.2175038","DOIUrl":"https://doi.org/10.2139/ssrn.2175038","url":null,"abstract":"We propose an iterative gradient-based algorithm to efficiently solve the portfolio selection problem with multiple spectral risk constraints. Since the conditional value at risk (CVaR) is a special case of the spectral risk measure, our algorithm solves portfolio selection problems with multiple CVaR constraints. In each step, the algorithm solves very simple separable convex quadratic programs; hence, we show that the spectral risk constrained portfolio selection problem can be solved using the technology developed for solving mean-variance problems. The algorithm extends to the case where the objective is a weighted sum of the mean return and either a weighted combination or the maximum of a set of spectral risk measures. We report numerical results that show that our proposed algorithm is very efficient; it is at least one order of magnitude faster than the state-of-the-art general purpose solver for all practical instances. One can leverage this efficiency to be robust against model risk by including constraints with respect to several different risk models.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129071989","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Bubble Cycle","authors":"M. Sakuragawa","doi":"10.2139/ssrn.2292527","DOIUrl":"https://doi.org/10.2139/ssrn.2292527","url":null,"abstract":"This paper analyzes the boom–bust cycle driven by rational bubbles in an overlapping generations economy that is subject to borrowing constraints. At the heart of the analysis is the interplay among savings, investment, and the interest rate. Bubbles are more likely to crowd investment in, the stronger is the intertemporal substitution in consumption, and the more severe is the borrowing constraint. This model contradicts with Abel et al (1989)’s condition in both dimensions of dynamic efficiency and the occurrence of bubbles. We characterize the global dynamics of a stochastically bubbly economy, where emergent bubbles are followed by the investment boom, but the bursting of bubbles results in the recession. The recession is serious relative to the boom, with biased holding of bubbles.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131245912","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Capital Market Equilibrium with Competition Among Institutional Investors","authors":"Sergei Glebkin, Dmitry Makarov","doi":"10.2139/ssrn.2017002","DOIUrl":"https://doi.org/10.2139/ssrn.2017002","url":null,"abstract":"We develop a dynamic general equilibrium model to study how competition among institutional investors affects the stock market characteristics - level, expected return, and volatility. We consider an economy in which multiple fund managers strategically interact with each other, as each manager tries to increase her performance relative to the others. We fully characterize an equilibrium in this economy, and find that a more intense competition is associated with a higher level of the market, lower expected market return, while market volatility is not affected by competition. These findings are broadly consistent with the data.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126996287","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Risk Management in Kenya's Commercial Banks; A Derivatives Instruments Perspective","authors":"Ojwang’George Omondi","doi":"10.2139/ssrn.2257738","DOIUrl":"https://doi.org/10.2139/ssrn.2257738","url":null,"abstract":"Managers are becoming increasingly aware of how their organizations can be buffeted by risks beyond their control. This paper delves into derivative activities of commercial banks and reveals that stakeholders are not adequately informed about banks' use of derivative contracts either for hedging purposes or speculative reasons.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129871229","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Revisiting 'Truth in Securities Revisited': Abolishing IPOs and Harnessing Private Markets in the Public Good","authors":"A. Pritchard","doi":"10.2139/SSRN.2103246","DOIUrl":"https://doi.org/10.2139/SSRN.2103246","url":null,"abstract":"This essay explores the line between private and public markets. I propose a two-tier market system to replace initial public offerings. The lower tier would be a private market restricted to accredited investors; the top tier would be a public market with unlimited access. The transition between the two markets would be based on issuer choice and market capitalization, followed by a seasoning period of disclosure and trading in the public market before the issuer would be allowed to make a public offering. I argue that such system would promote not only efficient capital formation, but also investor protection.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123128524","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Commodity Investing","authors":"K. Rouwenhorst, Ke Tang","doi":"10.2139/ssrn.2079664","DOIUrl":"https://doi.org/10.2139/ssrn.2079664","url":null,"abstract":"This paper reviews the literature on commodities from the perspective of an investor. We re-examine some of the early papers in the literature using recent data, and find that the empirical support for the Theory of Normal Backwardation as an explanation for the commodity risk premium is weak, and that the evidence is more consistent with storage decisions. We then review the behaviour of the main participants in the commodity futures markets with a particular focus on their impact on prices. While there is continued disagreement in the literature about the role of speculative activity, our results show that money managers are generally momentum (positive feedback) traders, while producers are net short and contrarian (negative feedback) traders. There is less evidence that index traders and swap dealers trade based on past futures returns.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123262803","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Understanding ETNs on VIX Futures","authors":"C. Alexander, Dimitris Korovilas","doi":"10.2139/ssrn.2043061","DOIUrl":"https://doi.org/10.2139/ssrn.2043061","url":null,"abstract":"This paper aims to improve transparency in the market for direct, leveraged and inverse exchange-traded notes (ETNs) on VIX futures. The first VIX futures ETNs were issued in 2009. Now there are about 30 of them, with a market cap of about $3 billion and trading volume on some of these products can reach $5 billion per day. Yet volatility trading is highly complex and regulators are rightly concerned that many market participants lack sufficient understanding of the risks they are taking. We recommend that exchanges, market-makers, issuers and potential investors, as well as regulators, read this paper to improve their understanding of these ETNs.We provide a detailed explanation of the roll yield and convexity effects that drive the returns on VIX futures ETNs, and we track their volatility and assess their performance over an eight-year period starting in March 2004, by replicating their values using daily close VIX futures prices. We explain how ETN issuers can construct almost perfect hedges of their suite of ETNs and control their issue (most ETNs are callable) to make very significant profits under all bootstrapped scenarios. However, market knowledge has precipitated front-running of the issuer’s hedging activities, making profits more difficult to control. Moreover, for hedging the ETNs such large positions must be taken on VIX futures that the ETN market now leads the VIX futures that they are supposed to track. The result has been an evident increase in the volatility of VIX futures since 2009. If this increase in statistical volatility induces an increase in VIX futures implied volatility, a knock-on effect would be higher prices of VIX options whilst S&P options are unaffected.A previous discussion paper, Alexander and Korovilas (2012), provided incontrovertible evidence that single positions on direct VIX futures ETNs of any maturity – including mid-term and longer-term trackers – could only provide a diversification/hedge of equity exposure during the first few months of a great crisis of similar magnitude to the banking collapse in late 2008. By contrast, the present discussion paper shows that some highly attractive long-term investment vehicles can be simply constructed by holding certain portfolios of VIX futures ETNs. In particular, we introduce a new class of 'roll-yield arbitrage' ETN portfolios which we call ETN2 (because they allocate between direct and inverse VIX futures tracker ETNs) and ETN3 portfolios (that allocate between static and dynamic ETN2). These portfolios have positive exposure to mid-term direct-tracker ETNs and (typically) negative exposure to short-term direct-tracker ETNs (equivalently, positive exposure to short-term inverse-tracker ETNs). Their unique risk and return characteristics make them highly attractive long-term investments, as well as superb diversifiers of stocks, bonds and commodities.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128762935","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Diminishing Opportunities in Single Stock Volatility","authors":"Lars N. Kestner","doi":"10.2139/ssrn.2091865","DOIUrl":"https://doi.org/10.2139/ssrn.2091865","url":null,"abstract":"There is evidence that the opportunities for volatility arbitrage in single stock options have been steadily shrinking since 2009 and recent deviations from fair value are smaller than the pre-crisis 2005-2007 period. Using a simple but effective metric for determining deviation from fair value, we see that, on average, relative implied volatilities are trading in tighter ranges than during the mid 2000s.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"41 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123268561","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Hidden Benefits of Equal Weighting: The Case for Hedge Fund Indices","authors":"Akos Beleznay, M. Markov, Alexey Panchekha","doi":"10.2139/ssrn.1716547","DOIUrl":"https://doi.org/10.2139/ssrn.1716547","url":null,"abstract":"In this paper we study statistical properties of equal-weighted indices of hedge funds. We find that aside from diversification benefits, 1/N naive equal-weighting possesses some additional attractive relative performance properties. We show that subject to certain assumptions, such an index outperforms more than half of its constituencies and provides lower risk and better risk-adjusted performance characteristics than the majority of them as well. We find that similar properties hold for equities and, to a lesser degree, for mutual funds. We relate these properties to the skewness of cross-sectional distributions of hedge fund returns. We also briefly discuss efficient implementations of the equal-weighted indices of hedge funds.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123604764","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}