私募股权投资基金退出策略比较研究

PE资本实现退出的过程可谓之其"涅槃",退出的好坏能在很大程度上决定下一次PE循环的起点高低。基于私募股权投资基金退出即股权转让变现的实质,按照股权受让方的不同,将私募股权投资基金退出渠道分为三类:外部转让退出、内部转让退出、公开转让退出。本文通过博弈分析对私募股权投资基金三类退出渠道从公司、投资银行、股票交易市场、股权受让方四个角度进行分析,最终得出公开转让是私募股权投资基金最理想的退出方式。     

Can the Public's Desire for Future Benefits Be Deduced form Their Private Decisions?

Abstract . How should benefits and costs occurring at different times be evaluated to decide whether to undertake tax financed public projects? What interest rate should be used? If public decisions were based on people's willingness to pay for future private income, they still could not be based on market interest rates. The benefits of public projects (except in the cases of private land values or affected fixed private capital investments) are not marketable. However, among other things, market interest rates do represent the opportunity costs of public investments. Still, many citizens are concerned about the welfare of future generations; they may have a lower time preference rate. Human capital investments are directly analogous to public investment to produce non marketable public goods. Both are illiquid; both yield returns higher than market rates. This indicates the private rates of time preference for most citizens are high.     

The Returns to Education: Microeconomics

In this paper we focus on education as a private decision to invest in "human capital" and the estimation of the rate of return to that private investment. While the literature is replete with studies that estimate the rate of return using regression methods where the estimated return is obtained as the coefficient on a years of education variable in a log wage equation that contains controls for work experience and other individual characteristics, the issue is surrounded with difficulties. We outline the theoretical arguments underpinning the empirical developments and show that the evidence on private returns to the individual is compelling. Despite some of these issues surrounding the estimation of the return to schooling, our evidence, based on estimates from a variety of datasets and specifications, is that there is an unambiguously positive effect on the earnings of an individual from participation in education. Moreover, the size of the effect seems large relative to the returns on other investments.     

Public and Private Investment and The Growth Process in Developing Countries

This paper examines the relative contribution of public and private investment to per capita GDP growth in developing countries. It extends the basic neoclassical model of growth by separating investment into its public and private components, and estimates this model for a sample of 95 developing countries over the period 1970–90 using both cross-sectional and panel data. Using data on relative supplies of public and private capital stock, rates of return to public and private investment are also computed. The results suggest that once other determinants of growth, such as human capital formation, population growth, and technical progress, are taken into account, public and private investment have different effects on growth, and that these effects are characterized by marked regional and inter-temporal variations.     

Time–frequency quantile dependence between Bitcoin and global equity markets

In this paper, we examine return dependence between Bitcoin and stock market returns using a novel quantile cross-spectral dependence approach. The results suggest a right-tail (high return) dependence between Bitcoin and the stock markets in the long term and that said dependence decreases significantly from yearly to monthly investment horizons. Furthermore, right-tail dependence between Bitcoin and the US stock market is the strongest compared with other stock markets. We also extract information on the time-varying and time–frequency structure of co-movements between Bitcoin and the stock markets using wavelet-coherence analysis, the results of which suggest that the co-movement between Bitcoin and the US stock market is positive, whereas, for other stock markets, it is negative at certain frequencies and time periods. Overall, the findings highlight additional risk-management capabilities of Bitcoin according to different stock markets.     

Foreign direct investment and financial markets influences: Results from the United States

This paper investigates the linkages among Foreign Direct Investment (FDI-greenfield and mergers and acquisitions (M&A)) decisions and equity market returns and volatilities. The central premise is that FDI decisions by Multinational Enterprises (MNE) are influenced, among other factors, by risk and uncertainty indicated by equity market returns and volatilities in the destination (host) countries. This is because of the events on the stock markets in general, and their volatilities, in particular, signal the vitality of the investment climate of the target country. Including capital market variables among the determinants of FDI is important for assessing the cost of capital and for evaluating direct investment and asset allocation decisions.Secondary time-series data (quarterly) were used on incoming US FDI from 1994 to 2018 along with data on independent variables such as exchange rates, inflation, market size, equity market returns, and equity market volatilities. Thus, the paper endeavors to contribute to the International Business literature by highlighting the role played of equity returns and volatilities in FDI decisions and therewith attempts to integrate finance (capital markets) with International Business/Strategic Decision making. Several different regression specifications (OLS, Fixed, and random-effects and VAR) were utilized to analyze the data, and capital market variables (stock returns and volatilities) were found to influence the location of production facilities by a multinational enterprise (MNE). In other words, the share of production capacity optimally located abroad, as well as M&A decisions, are influenced by capital market returns and volatilities.     

Cross-listing in the home market after going public in the U.S.

This study analyzes the impact of cross-listing on the abnormal returns of a unique sample of 34 Israeli stocks that went public in the U.S. and then cross-listed in their home market, Tel Aviv Stock Exchange (TASE). The behavior of abnormal returns around cross-listing date implies that cross-listing in TASE is an effective mechanism in reducing market segmentation between the U.S. and the Israeli capital markets. Risk assessment following cross-listing suggests a decline in the risk exposure, which further supports a higher degree of integration between the two markets due to cross-listing.     

风险投资背景异质性与退出时机选择——基于信任视角的实证研究

退出是风险投资获得投资回报、实现投资目标的关键环节,以我国2009—2016年深圳中小板和创业板IPO公司为研究样本,分析风险投资背景异质性对其退出时机的影响,并进一步检验风险投资机构与创业企业之间的信任在其中的调节作用。研究发现：风险投资背景异质性对其退出存在显著影响,与独立风险投资相比,公司风险投资在创业企业IPO后退出企业时间更晚;无论是基于声誉的信任还是基于制度的信任,风险投资机构与创业企业之间双向的信任都会促使公司风险投资更晚退出创业企业;相对于独立风险投资,公司风险投资更晚退出企业是为了追求战略回报。研究表明创业企业可以通过提升风险投资对其信任度来维护其投资管理,而风险投资机构则可以通过提升创业企业对其信任度来加深互惠互信的合作关系。     

Institutional barriers in labor markets: Examples, impacts, and policies

This paper examines the institutional biases that impede the competitive functioning of labor markets. Two contexts are considered. The first relates to Moroccan labor migrants in The Netherlands, where institutional bias distorts the competitive functioning of the labor market by downgrading the educational returns to migrant workers and acting as a disincentive for further investment in human capital. The second relates to labor markets in Indonesia and Pakistan. Institutional bias in these two countries leads to an exaggeration of labor returns to certified education, and to over-investment in university education. We argue that such biases are fed by misinformed beliefs and group interests, and stand in the way of achieving higher growth and equity.     

THE RETURNS TO ENDOGENOUS HUMAN CAPITAL IN PAKISTAN'S RURAL WAGE LABOUR MARKET

This paper estimates the private returns to human capital in Pakistani rural labour markets. The rich data used permit inclusion of several dimensions of human capital and control for endogeneity resulting from investment in human capital. The results suggest that, without data on determinants of human capital, it would not be possible to disentangle the separate effect of each dimension of human capital on wage differentials nor to distinguish human capital explanations for wage differentials from signalling and credentialist models. With control for endogeneity of human capital and selectivity into wage employment, cognitive achievement, but not schooling attainment separate from cognitive achievement nor long-run health status, affects wage differentials.     

Time‐to‐market,window of opportunity,and salvageability of a new product development

The time‐to‐market in the presence of a window of opportunity is analyzed using ;a probabilistic model, i.e. a model where the completion time of new product development is a random variable characterized by a gamma distribution. Two cases are considered: the first, a case where the discounted return‐on‐investment exceeds the return expected from a conservative investment—e.g. investment in bonds—termed ‘the profitable case’; and the second, a case where the discounted return‐on‐investment just balances the cost of new product development, termed ‘the salvageable case’. The model constructed is focused on the financial aspects of new product development. It allows a decision‐maker to monitor, as well as terminate, a project based on its expected value (at any time prior to completion) by computing the mean time‐to‐market that provides profit, investment salvage, or loss. The mean time‐to‐market computed by the model may be compared with that estimated by the technology development team for decision‐making purposes. Finally, in the presence of a window of opportunity and for the specific cases analyzed, we recommend to always keep the expenditure rate lower than the expected return rate. This will provide the decision‐maker a salvageable exit opportunity if project termination is decided. Copyright © 2002 John Wiley & Sons, Ltd.     

Return and Risk Premium Seasonalities in three Emerging Asian Markets: Hong Kong,Korea and Taiwan*

In this study, we find that seasonal return patterns differ from that implied by risk premiums in three emerging Asian markets; namely, Hong Kong, Korea and Taiwan. Positive January seasonal returns are found in the Hong Kong and Taiwan markets, while positive February seasonal returns are also found in Taiwan. These findings suggest that investors should place their money in these markets during January but not for the months of June and December in Korea, and for the months of May and November in Taiwan. Corporate managers should also be aware of the need to adjust for such seasonal variations when they use market data to evaluate the risk premium or required rate of return for projects in these markets. The results also show that the size effect may also be priced in some of these markets.     

Is energy security really too important to leave to markets?

Involvement by government in the energy sector has historically been extensive. Generally, however, regulation and direct ownership have involved secondary sectors such as electricity generation and transport on the grounds that these are natural monopolies exhibiting increasing returns to scale. With some exceptions, primary energy production has been left in private hands. But security of energy supply, particularly of petroleum, has been held to justify investment by governments in maintaining strategic reserves and other initiatives. This article argues, however, that petroleum markets are resilient and that the probability of disruptions is slight. Markets can be trusted to satisfy demand without shortages, at affordable prices. In light of structural changes and innovations in petroleum markets, unless the large strategic reserves held by almost all developed countries are actively used to reduce market volatility as a form of public good, maintaining them is difficult to justify.     

Securing a Better Deal From Investors in Public Infrastructure Projects

Abstract

The return on capital is a major contributor to the cost of design, build, finance and operate (DBFO) contracts, under which public infrastructure is financed and delivered by private companies. The article presents a method for evaluating the rates of return targeted by bidders and applies this to 10 contracts commissioned by the UK National Health Service. The presence of significant excess returns is identified in each case. We argue that, if the rate of return projected by an investor exceeds a benchmark cost of capital, derived using standard capital budgeting techniques, then a reduction in the fee to be paid by the public authority is justified.     

基于自由现金流的投资组合研究

本文运用我国股市1998～2006年间的财务报表数据,选择正自由现金流、低自由现金流乘数和低财务杠杆的大公司,对其以自由现金流为基础的投资组合进行了检验。结果显示,以自由现金流为基础的投资组合回报始终优于市场指数,说明在我国股市实行基于自由现金流的投资组合是积极可行的。     

Do real estate investors trade on momentum?

Real estate markets are known to be less-than-efficient for many reasons, but what roles short-term trading plays are unclear. Do short-term investors bring additional risk to the market and cause prices to deviate from fundamental values? Based on an extensive dataset of property transactions and a policy shock that substantially raised the cost of short-term trading in Hong Kong, we estimate ‘real estate risk’ with and without short-term trading based on return predictability, return volatility, and price dispersion. Our results show that as short-term investors exit the market, market returns are less predictable and less volatile, while prices are less dispersed cross-sectionally. Consistent with herding models in behavioral finance, the findings suggest that short-term investors are momentum traders who do not enhance price efficiency.     

Wavelet decomposition of heterogeneous investment horizon

Building on the assumptions that investors are heterogeneous and that not all of them are fully rational, the market for trading any financial instrument can be separated into several segments, each associated with a different investment horizon. Thus, the expected return on an asset for each horizon maintains a different functional relationship with an expected market return. In other words, the trading of an asset by investors with heterogeneous investment horizons results in the coexistence of multiple security market lines. This proposed theory, which offers an alternative interpretation of investment behavior from that of the capital asset pricing model (CAPM) and the efficient markets hypothesis (EMH), is verified by using the newly introduced amalgamated discrete wavelet transform.     

Commitment, advertising and efficiency of two-sided investment in competitive search equilibrium

Competitive search entails both commitment to and advertising of pay-off relevant aspects of market participants. This paper considers incrementally the implications of each in a labor market where both workers and firms invest prior to market entry. A wide range of institutional arrangements are addressed within the same general framework. When the characteristics of jobs or workers are advertised the efficient outcome pertains. Commitment without advertising typically leads to market unravelling: the Diamond paradox. But, whenever wages and human capital are advertised, firms become residual claimants; the private and social returns to investment coincide. Absent wage commitment, the Hosios condition implies efficiency when investments are advertised.     

企业研发决策、政府资助方案及最优资助配比

本文对企业和政府在企业研发决策中研发组织方式进行了理论分析,研究了不同市场和不同决策下的政府的资助方案及最优资助配比。研究发现,在独立研发的情况下,封闭市场需要政府资助诱导企业私人研发的投入,且最优配比为1:2;出口导向型市场政府资助对企业私人研发的投入无诱导作用;进口导向型市场企业无需政府资助亦会进行私人研发投入。在产学研合作的情况下,封闭市场中支付学研机构的研发费用率k和政府资助s满足(1+s)(1-k)=1.5时达最优资助配比。     

The structure of wages during the economic transition in Romania

I use cross-sectional individual data from the 1994 Integrated Household Survey (IHS) of Romania to analyze the determinants of male and female wages in public and private enterprises. Using quantile regression I estimate the rate of return to education and experience at different quantiles of the wage distribution. Higher levels of education are significantly associated with higher wages for both males and females in public firms. In private firms, only college education is correlated with significantly higher wages. I also find that there are no significant differences in the returns to human capital at the median and at the upper and lower tail of the distribution of gender-specific wages in each sector. Differences in individual characteristics are found to explain the highest portion of the male–female wage differential in Romania in both sectors.