Articles scientifiques

The Real Effects of Lending Relationships on Innovative Firms and Inventor Mobility

J. HOMBERT, A. MATRAY

Review of Financial Studies

A paraître

Départements : Finance, GREGHEC (CNRS)

Mots clés : Lending relationships, Soft information, Innovation, Inventors

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2082403


We study whether relationship lending is conducive to the financing of innovation. Exploiting a negative shock to relationships, we show that it reduces the number of innovative firms, especially those that depend more on relationship lending such as small, young, and opaque firms. This credit supply shock leads to reallocation of inventors whereby young and promising inventors leave small firms and move out of geographical areas where lending relationships are hurt. Overall, our results suggest that credit markets affect both the level of innovation activity and the distribution of innovative human capital across the econom

Who are the value and growth investors?

S. BETERMIER, L. CALVET, P. SODINI

The Journal of Finance

A paraître

Départements : Finance

Mots clés : Asset pricing, value premium, household finance, portfolio allocation, human capital, factor-based investing

http://dx.doi.org/10.2139/ssrn.2426823


This paper investigates value and growth investing in a large administrative panel of Swedish residents. We show that over the life-cycle, households progressively shift from growth to value as they become older and their balance sheets improve. Furthermore, investors with high human capital and high exposure to macroeconomic risk tilt their portfolios away from value. While several behavioral biases seem evident in the data, the patterns we uncover are overall remarkably consistent with the portfolio implications of risk-based theories of the value premium

Wholesale Funding Dry-Ups

D. THESMAR, C. PERIGNON, G. VUILLEMEY

The Journal of Finance

A paraître

Départements : Finance, GREGHEC (CNRS)


Zero-sum revision games

F. GENSBITTEL, S. LOVO, J. RENAULT, T. TOMALA

Games and Economic Behavior

A paraître

Départements : Finance, GREGHEC (CNRS), Economie et Sciences de la décision


Catching Falling Knives: Speculating on Liquidity Shocks

J. E. COLLIARD

Management Science

août 2017, vol. 63, n°8, pp.2573-2591

Départements : Finance, GREGHEC (CNRS)

Mots clés : supply information • nonfundamental uncertainty • market crashes • arbitrage • high-frequency trading

http://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2016.2440


Many market participants invest resources to acquire information about liquidity rather than fundamentals. I show that agents using such information can reduce the magnitude of short-lived pricing errors by trading against liquidity shocks. However, the short-run stabilizing effect of this behavior also makes it more difficult to identify liquidity shocks, a signal-jamming effect that slows down price discovery in the long run. As more agents invest in nonfundamental information, market prices become more resilient to liquidity shocks but also recover more slowly from temporary price deviations.


JavaScriptSettings