Political Business Cycles,Elections and Entrepreneurial Finance: A Framework

Political processes affect the real economy. An important channel through which politics affects economics is uncertainty. It has been observed that political uncertainty is high around national elections and negatively affects corporate investments and foreign capital inflows. If national elections affect corporations and foreign investors, we should expect them to also affect entrepreneurial finance provided by investors like venture capitalists (VCs). To add to that, in a complex federal democracy, state level politics is a significant source of political uncertainty. This is the first paper to examine the impact of national and state elections on entrepreneurial finance and provides a framework of VC investment behavior in the face of political uncertainty. We find that VC investments decrease significantly due to political uncertainty around national and state elections. VCs respond strongly to national elections by decreasing the total investment value and the number of deals in election years. However, they give a softer response to regional political uncertainty around state elections by decreasing only the average deal size. The findings have important implications for governments, regulators and policymakers, and open up an opportunity to examine a variety of new questions which can provide a more detailed and nuanced understanding of the impact of elections on VC investments.

     

经济政策不确定性与企业退出决策:理论与实证研究

经济政策影响微观企业经营是现有研究的共识.在已有文献基础上,文章考察了经济政策不确定性对企业退出决策的影响.文章基于一个代表性企业最优退出决策的框架,构建了经济政策不确定性影响企业退出决策作用机制的理论模型,并利用1998?2011年中国工业企业微观数据对理论模型进行了实证检验.研究结果显示,经济政策不确定性通过增加市场预期收益的机制降低了企业的退出概率,即面对高水平的经济政策不确定性时,企业对未来市场形成了良好的预期,倾向于采取理性的"延迟退出"决策.进一步分析发现,企业退出决策的"延迟现象"在不同企业、行业和区域间呈现出异质性,经济政策不确定性更多地延迟了具有优越发展前景的企业、行业及区域的市场退出.从企业方面来看,这一现象在规模小、跨产业经营、出口、政府补贴的企业及创新企业中更加显著;从行业方面来看,这一现象在资金技术密集型的行业及生产率高的行业中更加显著;从区域来看,这一现象在市场化程度高的区域及经济增长快的区域更加显著.可见,政府的经济政策变动,不仅引导了企业制定理性的战略决策,而且激励了优势资源和市场的持续发展.     

中国企业研发决策同群效应的空间计量分析

考虑到企业间策略互动对研发决策的影响，将空间面板计量模型引入同群效应实证研究。基于2013—2019年中国A股上市公司数据，构建地区、行业和财务特征3类空间权重矩阵，结果发现：中国上市公司研发投入具有明显的惯性；企业研发决策主要受同行业同群企业研发决策（内生同群效应）及其特征变量（外生同群效应）的影响，同地区和相似财务特征的同群企业可以通过特征变量（外生同群效应）对本企业研发决策产生影响；尽管企业研发牺牲了短期盈利，但对股市估值的影响显著为正，说明中国资本市场投资者已具备一定的价值投资意识，而同群企业研发投入对本企业盈利和股市估值的影响均为负，说明中国企业研发互动主要体现为竞争效应而非协同效应；在国家实施创新驱动发展战略后，企业平均研发投入强度显著提升，3类同群效应显著增强。从全局视角对中国企业研发行为进行研究，以期为企业经理人提供有关激励研发创新、提升企业价值的启示。     

Domestic Labor Markets and Foreign Direct Investment*

We study how the labor market and industry uncertainty affect the investment decisions of multinational enterprises (MNEs). In an uncertain business climate, MNEs must take account of the future in deciding where to locate a branch plant. When wages are endogenously determined, both the opportunity cost of labor and redundancy payments influence the MNE’s decision. When countries compete for foreign investment, different national characteristics determine the winners in different industries. Differences in risk may draw MNEs to different locations. Firm‐specific bargaining always offers an advantage, as the mix of current and future pay fully reflects the firm’s risk profile.     

Partially Irreversible Investment Decisions and Taxation under Uncertainty: A Real Option Approach

The paper applies contingent claims analysis in a real option investment model in order to investigate taxation's influence on investor's decisions under uncertainty. The results show the distortion from realistic-type tax systems, allow to identify a tax-induced paradox in option valuation for specific settings and acknowledge the property of investment neutrality of well-known 'ideal' tax systems in the context of different degrees of irreversibility. Furthermore, it is clarified that the idea of risk-neutral valuation cannot be adopted by the real option approach in general.     

Irrational Mutual Fund Managers: Explaining Differences in Their Behavior

Documenting the disposition effect for a large sample of mutual fund managers in the United States, we find that stock-level characteristics explain the cross-sectional variation of the effect. The disposition effect, which is the tendency to sell winner stocks too early and hold on to loser stocks for too long, is more pronounced for fund managers who invest in stocks that are more difficult to value. Using different measures of stock and market uncertainty, we show that mutual fund managers display a stronger disposition-driven behavior when stocks are more difficult to value. We also find that the level of the disposition effect is monotonically increasing with the level of systematic risk (i.e., beta). In addition, we document that the trading behavior of mutual fund managers is partly driven by attention-grabbing stocks (dividend-paying stocks). Overall, our results suggest that stock-level uncertainty and trading of attention-grabbing stocks amplify the disposition effect and that differences in the effect can be explained by mutual fund managers' investment styles. Given that mutual funds hold a large fraction of the U.S. equity market, our findings add to the ongoing discussion whether professional investors can create stock mispricings and shed new light on market efficiency.     

基于实物期权的企业信息化多项目投资决策研究

企业投资信息化项目不同于一般的项目,信息化项目具有高度的不确定性、收益的无形性和延迟性等特点,传统的投资决策评价方法面对不确定性很高的信息化项目无法作出科学的判断,无法赋予投资者更多的灵活性。由于企业信息化项目投资及其产生的效益的不确定性具有许多实物期权的特点,因此,将运用实物期权方法来解决企业信息化多项目投资决策风险控制问题。     

企业跨境风险投资海外技术探索：双重劣势与投资策略——基于科技型企业多案例分析

企业跨境风险投资（Cross—borderCorporateVentureCapital，简称跨境CVC）是指企业以知识搜寻和技术投资为导向的海外冒险活动，对在位企业创新活力提升、组织韧性增强及国际竞争力跃迁起重要作用。然而，在进行海外技术探索时，跨境CVC面临来自东道国制度环境和目标技术领域的双重外来者劣势，如何通过合理的投资安排应对双重劣势，对于跨境CVC价值实现格外重要。基于实物期权理论，对跨境CVC活动决策过程和投资逻辑进行研究，以英特尔、Alphabet、联想和百度4家科技型企业跨境CVC活动为研究样本进行案例分析，从投资单元、投资伙伴、技术领域、投资区位、投资阶段和投资信息披露等维度归纳双重外来者劣势应对策略。研究结论有助于丰富外来者劣势概念内涵并拓展实物期权理论应用场景，打开科技型企业跨境CVC过程“黑箱”，为我国企业跨境CVC战略规划与实施提供理论依据和实践指导。     

Restoring Wetlands Through Wetlands Mitigation Banks

This paper offers the first economic analysis of wetlands mitigation banks. The banks are a new alternative for restoration of wetlands by developers before receiving regulatory approval for future development of wetlands in the same watershed. A stochastic optimal control model is developed which incorporates ecological uncertainty of wetlands restoration. The model helps in examining the decisions of how much to invest in a wetlands mitigation bank. The model is calibrated with data from California bioeconomic parameters. Numerical simulation of the model provides a sensitivity analysis of how model parameters of restoration costs, stochastic biological growth, interest rate, and the market value of credits affect the trajectory of investment and the optimal stopping state of wetlands quality when the investment ends. The analysis reveals that restoration of the whole site will occur when there is a reduction in restoration costs, an increase in biological uncertainty or an increase in the value of wetlands credits. Continued restoration is harder to justify with a higher interest rate.     

Allocation of resources in a team

The informational efficiency of “price” and “demand” messages in a resource allocation mechanism is studied here with the aid of the theory of teams¹. In the usual analysis of adjustment mechanisms (tâtonnement, decomposition), the adjustment process is assumed to run to completion, so that all the allocation and resource decisions can be made on the basis of enough information to guarantee optimal decisions². If, however, decisions must be made before the adjustment process is completed, say, after only a few iterations, then the decisions must be taken with limited information, and thus under conditions of uncertainty. This paper discusses a simple model in an attempt to examine explicitly these problems of uncertainty and limited information. A set of enterprise managers are assumed to produce various commodities, using scarce resources allocated to the enterprises by a resource manager. The enterprise managers also make decisions that affect their individual outputs. Varous kinds of communication among the managers, together with the corresponding information structures, are formulated, including the communication of price and demand messages. Optimal decision rules for the managers are calculated for the objective of maximizing the expected value of an index of total output. (It is assumed that the production functions and the supplies of scarce resources are stochastic, but are observed by the respective managers.) It is shown that optimal decision rules based on a single exchange of price and demand messages, between the resource manager on the one hand and the enterprise managers on the other, produces as good results as rules based on (1) complete information for the resource manager, and (2) information about the supplies of resources on the part of the enterprise managers. Furthermore, these price and demand messages produce approximately fully optimal results when the number of enterprises is large. However, the optimal decisions of the enterprise managers do not maximize profits, at least relative to any price that is the same for all enterprises. An assumption that the production functions are quadratic plays a key role.     

专利价值评估的动态模拟方法研究

专利价值评估已成为当前政府投资、企业融资、科研院所技术转移以及国家/地区科技竞争力评价的关注焦点与研究热点。专利价值的形成过程以及影响专利价值评估的技术、市场和竞争等多种因素构成了复杂的动态反馈系统,适宜利用系统动力学原理和方法开展动态模拟。剖析了现有专利价值评估方法的适用性及存在的问题,在此基础上,首次分析了专利价值评估的动力学机理,建立了专利价值评估的系统动力学模型,并以某高价值度专利为例,对专利价值评估进行了动态模拟,为专利技术的实施、许可、转让及商业并购等产权交易提供了一种现实可行的专利价值评价工具。     

The effect of endogenous timing on coordination under asymmetric information: An experimental study

This paper investigates the role of endogenous timing of decisions on coordination under asymmetric information. In the equilibrium of a global coordination game, where players choose the timing of their decision, a player who has sufficiently high beliefs about the state of the economy undertakes an investment without delay. This decision (potentially) triggers an investment by the other player whose beliefs would have led to inaction otherwise. Endogenous timing has two distinct effects on coordination: a learning effect (early decisions reveal information) and a complementarity effect (early decisions eliminate strategic uncertainty for late movers). The experiments that we conduct to test these theoretical results show that the learning effect of timing has more impact on the subjects' behavior than the complementarity effect. We also observe that subjects' welfare improves significantly under endogenous timing.     

Present bias and corporate tax policies

Two major forms of corporate tax policies are dividend and profits taxes. Based on conventional corporate theory, these tax policies distort the firm's investment decisions and decrease firm value. However, this paper shows that under hyperbolically discounted preferences, dividend taxation is capable of boosting firm investment in a value‐enhancing way. The hyperbolically discounted present value can be interpreted as reflecting irrational myopic preferences or, as we demonstrate, reduced‐form implications of corporate agency issues. Both cases result in an underinvestment problem for the firm, but the firm valuation criteria differ. The optimal taxation issue is discussed under a Cobb–Douglas production function setting.     

分析师的估值模型会影响评级的信息含量吗?

本文基于2014—2018年发布的沪深两市A股上市公司深度研究报告,考察了分析师报告中关于估值方法的描述,探究分析师估值模型的选择是否会对其投资意见的信息含量产生影响。研究发现,分析师采用绝对估值模型能够提高评级调整的市场反应,具有一定的增量价值。进一步分组检验发现,在公司成长性较高、不确定性较大、券商实力较弱、分析师之间的竞争程度较高的情况下,使用绝对估值模型对于提高分析师评级调整的信息含量作用更大。本文的研究结论对于理解分析师估值过程的价值和有效性以及分析师研究报告信息含量的影响因素具有重要意义,并为投资者如何使用和评价分析师研究报告提供了一定的参考。     

市场情绪、研发投入与企业实际投资——基于迎合渠道视角的实证研究

行为公司金融理论认为,企业研发投入水平不仅会影响企业价值,而且会影响市场上投资者对公司成长的预期——拥有较高研发投入强度的公司被市场认为具有较高的红利增长不确定性。根据企业投资决策的迎合理论,外部治理压力会导致经理人做出偏离于最优水平的投资决策。基于2002—2009年我国上市公司的经验数据,分析了研发投入与迎合渠道之间的关系。实证结果表明,上市公司的经理人在进行投资决策时的确有明显的迎合市场的情绪倾向,并且研发投入强度较高的公司,这一倾向会更加显著。     

National culture and national savings: is there a link?

We study the effect of national culture on economic decisions, focusing on GLOBE cultural dimensions of uncertainty avoidance and future orientation. Specifically, we study the effect of divergence between cultural values and practices (societal aspirations), on the aggregate savings decision. Using the life-cycle model of savings as our basic model, we find that societal aspirations are important in explaining national savings behavior. In particular, we show that societal aspirations relating to future orientation and uncertainty avoidance have a positive effect on the rate of savings. We interpret our findings to indicate that such societal aspirations lead to mistrust in the societal arrangements and institutions, and induce savings as a means of securing the future and reducing uncertainty. To substantiate this interpretation, we utilize the microfinance industry; showing that high societal aspirations are associated with preference for savings through member-owned microfinance institutions (MFIs) over savings through non-member-owned MFIs.     

The Endowment Effect and the Role of Uncertainty

This paper explains the endowment effect, whereby sellers generally demand considerably more for a good than buyers are prepared to pay, and related anomalies. Many decisions, including nominating buying or selling prices, involve uncertainty, and we assert that people experience negative psychological reactions to uncertainty. These reactions can affect a person's valuation of the various options, biasing the person's actions towards the status quo, thus producing the endowment effect. Our model also proposes positive or negative reactions to unlikely prospects, which are able to explain commonly observed behaviour in the presence of ambiguity.     

Foreign Direct Investment and the External Wealth of Nations: How Important Is Valuation?

While the balance sheet approach has increased the focus on position data, differences in valuation practices for foreign direct investment (FDI) make cross‐country comparisons difficult. To enhance comparability, the IMF's Balance of Payments and International Investment Position Manual, sixth edition, which some countries have already implemented and others will implement in the coming years, recommends seven methods for valuation of unlisted FDI. This paper demonstrates that both the valuation method and simple differences in estimation techniques can fundamentally change a country's financial balance sheet. Using Denmark as an illustration, unlisted FDI equity liabilities vary from 22 to 156 percent of GDP when applying different estimation techniques, but just one valuation method, price to earnings. These measurement uncertainties can lead to important misunderstandings and affect policy recommendations, thus pointing to the need for further international harmonization. While the results are presented in an FDI context, the uncertainties also apply to other macroeconomic datasets, including national accounts statistics.     

HOW ASSET IRREVERSIBILITY INFLUENCES THE INVESTMENT‐UNCERTAINTY RELATIONSHIP

This paper examines how uncertainty affects firms' investments for varying degrees of asset irreversibility (i.e., the wedge between purchase price and liquidation value of an asset). To identify more or less irreversible capital goods, we exploit unique survey data on German manufacturing firms over the sample period 2004 to 2012 in which managers provide information on investments' purpose (capacity expansion, replacement, restructuring, rationalization, and other). Our results indicate that only investments into the most irreversible capital goods (capacity expansion) will decrease if uncertainty rises. We also find support for other channels, such as the financial friction or the market power channel, to explain the investment‐uncertainty relationship.     

The Influence of Gender on the Perception and Response to Investment Risk: The Case of Professional Investors

In a previous issue of this journal, O'Barr and Conley, noted that cultural differences caused public pension fund managers to invest differently and more conservatively than their private fund counterparts. An additional insight to is that cultural factors have a non-trivial affect on how assets are managed. This article continues with this theme and suggests that, even with equivalent training, experience and information, investment managers make different decisions based on identifiable cultural differences. This study focuses on professional men and women investment managers who perceive and respond to risk differently. This supports O'Barr and Conley, suggesting cultural factors may be responsible for this risk related gender effect.

There is extensive evidence that when faced with social and technological hazards, women are more risk averse than men. This appears to be so even when decision-makers of both genders have the same level of expertise and experience. In the investment realm, non-professional women investors also appear to accept less risk than their male counterparts, after controlling for factors such as age, education, wealth and experience. Although the precise reason for this gender difference in risk taking is unknown, it appears to be related to evolutionary and social factors.

This paper is unique in that it investigates the risk/gender difference for professionally trained investors. It is found that women investors weight risk attributes, such as possibility of loss and ambiguity, more heavily than their male colleagues. In addition, women tend to emphasize risk reduction more than men in portfolio construction. While gender differences appear to influence perceptions of risk and recommendations to clients, these differences tend to be the most significant for assets and portfolios at risk extremes.