The Experts below are selected from a list of 120 Experts worldwide ranked by ideXlab platform
Annette Vissingjorgensen - One of the best experts on this subject based on the ideXlab platform.
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the returns to entrepreneurial investment a private equity premium puzzle
The American Economic Review, 2002Co-Authors: Annette Vissingjorgensen, Tobias J MoskowitzAbstract:We document the return to investing in U.S. nonpublicly traded equity. Entrepreneurial investment is extremely concentrated, yet despite its poor diversification, we find that the returns to private equity are no higher than the returns to public equity. Given the large public equity premium, it is puzzling why households willingly invest substantial amounts in a single privately held firm with a seemingly far worse Risk-Return Tradeoff. We briefly discuss how large nonpecuniary benefits, a preference for skewness, or overestimates of the probability of survival could potentially explain investment in private equity despite these findings.
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the private equity premium puzzle
2000Co-Authors: Annette Vissingjorgensen, Tobias J MoskowitzAbstract:We document that investment in private equity is extremely concentrated. Yet despite the very poor diversification of entrepreneurs' portfolios, we find that the returns to private equity are surprisingly low. Given the large premium required by investors in public equity, it is puzzling why households willingly invest substantial amounts in a single privately held firm with a far worse Risk-Return Tradeoff. We examine various explanations and conclude that private nonpecuniary benefits of control must be large and/or entrepreneurs must greatly overestimate their probability of success in order to explain the observed concentration of wealth in private equity.
Tobias J Moskowitz - One of the best experts on this subject based on the ideXlab platform.
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the returns to entrepreneurial investment a private equity premium puzzle
The American Economic Review, 2002Co-Authors: Annette Vissingjorgensen, Tobias J MoskowitzAbstract:We document the return to investing in U.S. nonpublicly traded equity. Entrepreneurial investment is extremely concentrated, yet despite its poor diversification, we find that the returns to private equity are no higher than the returns to public equity. Given the large public equity premium, it is puzzling why households willingly invest substantial amounts in a single privately held firm with a seemingly far worse Risk-Return Tradeoff. We briefly discuss how large nonpecuniary benefits, a preference for skewness, or overestimates of the probability of survival could potentially explain investment in private equity despite these findings.
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the private equity premium puzzle
2000Co-Authors: Annette Vissingjorgensen, Tobias J MoskowitzAbstract:We document that investment in private equity is extremely concentrated. Yet despite the very poor diversification of entrepreneurs' portfolios, we find that the returns to private equity are surprisingly low. Given the large premium required by investors in public equity, it is puzzling why households willingly invest substantial amounts in a single privately held firm with a far worse Risk-Return Tradeoff. We examine various explanations and conclude that private nonpecuniary benefits of control must be large and/or entrepreneurs must greatly overestimate their probability of success in order to explain the observed concentration of wealth in private equity.
Shen Zhao - One of the best experts on this subject based on the ideXlab platform.
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investor sentiment and economic forces
Journal of Monetary Economics, 2017Co-Authors: Junyan Shen, Shen ZhaoAbstract:Abstract Economic theory suggests that pervasive factors should be priced in the cross-section of stock returns. However, our evidence shows that portfolios with higher risk exposure do not earn higher returns. More importantly, our evidence shows a striking two-regime pattern for all 10 macro-related factors: high-risk portfolios earn significantly higher returns than low-risk portfolios following low-sentiment periods, whereas the exact opposite occurs following high-sentiment periods. These findings are consistent with a setting in which market-wide sentiment is combined with short-sale impediments and sentiment-driven investors undermine the traditional Risk-Return Tradeoff, especially during high-sentiment periods.
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investor sentiment and economic forces
Social Science Research Network, 2016Co-Authors: Junyan Shen, Shen ZhaoAbstract:This study explores the role of investor sentiment in the pricing of a broad set of macro-related risk factors. Economic theory suggests that pervasive factors (such as TFP and consumption growth) should be priced in the cross-section of stock returns. However, when we form portfolios based directly on their exposure to macro factors, we find that portfolios with higher risk exposure do not earn higher returns. More important, we discover a striking two-regime pattern for all 10 macro-related factors: high-risk portfolios earn significantly higher returns than low-risk portfolios following low-sentiment periods, whereas the exact opposite occurs following high-sentiment periods. We argue that these findings are consistent with a setting in which market-wide sentiment is combined with short-sale impediments and sentiment-driven investors undermine the traditional Risk-Return Tradeoff, especially during high-sentiment periods.
Rossen I Valkanov - One of the best experts on this subject based on the ideXlab platform.
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there is a risk return Tradeoff after all
Journal of Financial Economics, 2005Co-Authors: Eric Ghysels, Pedro Santaclara, Rossen I ValkanovAbstract:This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns -- the Mixed Data Sampling (or MIDAS) approach. Using MIDAS, we find that there is a significantly positive relation between risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance process, and to controlling for variables associated with the business cycle. We compare the MIDAS results with tests of the ICAPM based on alternative conditional variance specifications and explain the conflicting results in the literature. Finally, we offer new insights about the dynamics of conditional variance.
Junyan Shen - One of the best experts on this subject based on the ideXlab platform.
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investor sentiment and economic forces
Journal of Monetary Economics, 2017Co-Authors: Junyan Shen, Shen ZhaoAbstract:Abstract Economic theory suggests that pervasive factors should be priced in the cross-section of stock returns. However, our evidence shows that portfolios with higher risk exposure do not earn higher returns. More importantly, our evidence shows a striking two-regime pattern for all 10 macro-related factors: high-risk portfolios earn significantly higher returns than low-risk portfolios following low-sentiment periods, whereas the exact opposite occurs following high-sentiment periods. These findings are consistent with a setting in which market-wide sentiment is combined with short-sale impediments and sentiment-driven investors undermine the traditional Risk-Return Tradeoff, especially during high-sentiment periods.
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investor sentiment and economic forces
Social Science Research Network, 2016Co-Authors: Junyan Shen, Shen ZhaoAbstract:This study explores the role of investor sentiment in the pricing of a broad set of macro-related risk factors. Economic theory suggests that pervasive factors (such as TFP and consumption growth) should be priced in the cross-section of stock returns. However, when we form portfolios based directly on their exposure to macro factors, we find that portfolios with higher risk exposure do not earn higher returns. More important, we discover a striking two-regime pattern for all 10 macro-related factors: high-risk portfolios earn significantly higher returns than low-risk portfolios following low-sentiment periods, whereas the exact opposite occurs following high-sentiment periods. We argue that these findings are consistent with a setting in which market-wide sentiment is combined with short-sale impediments and sentiment-driven investors undermine the traditional Risk-Return Tradeoff, especially during high-sentiment periods.
