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Essays on Corporate Investment Dynamics.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays on Corporate Investment Dynamics./
Author:	Peters, Ryan Peters.
Description:	1 online resource (123 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
Contained By:	Dissertation Abstracts International78-12A(E).
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9780355110111

Essays on Corporate Investment Dynamics.
Peters, Ryan Peters.

Essays on Corporate Investment Dynamics. - 1 online resource (123 pages)

Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

This dissertation contains two paper. The first, "Volatility and Venture Capital," demonstrates that the performance of venture capital (VC) investments load positively on shocks to aggregate return volatility. I document this novel source of risk at the asset-class, fund, and portfolio-company levels. The positive relation between VC performance and volatility is driven by the option-like structure of VC investments, especially by VCs' contractual option to reinvest. At the asset-class level, shocks to aggregate volatility explain a substantial fraction of VC returns. At the fund level, consistent with the reinvestment channel, this exposure is concentrated in years two through four of fund life and in early-stage VC funds, which have more embedded reinvestment options. For VC-backed portfolio companies, volatility shocks correlate with faster and more frequent reinvestment. The level of volatility at the time of investment has no relation with future performance, consistent with competitive markets. Overall, my results imply that the option-like features of VC investments are first-order determinants of risk in VC.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780355110111Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays on Corporate Investment Dynamics.
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100 1 $a Peters, Ryan Peters. $3 1182894
245 1 0 $a Essays on Corporate Investment Dynamics.
264 0 $c 2017
300 $a 1 online resource (123 pages)
336 $a text $b txt $2 rdacontent
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500 $a Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
500 $a Adviser: Lucian A. Taylor.
502 $a Thesis (Ph.D.) $c University of Pennsylvania $d 2017.
504 $a Includes bibliographical references
520 $a This dissertation contains two paper. The first, "Volatility and Venture Capital," demonstrates that the performance of venture capital (VC) investments load positively on shocks to aggregate return volatility. I document this novel source of risk at the asset-class, fund, and portfolio-company levels. The positive relation between VC performance and volatility is driven by the option-like structure of VC investments, especially by VCs' contractual option to reinvest. At the asset-class level, shocks to aggregate volatility explain a substantial fraction of VC returns. At the fund level, consistent with the reinvestment channel, this exposure is concentrated in years two through four of fund life and in early-stage VC funds, which have more embedded reinvestment options. For VC-backed portfolio companies, volatility shocks correlate with faster and more frequent reinvestment. The level of volatility at the time of investment has no relation with future performance, consistent with competitive markets. Overall, my results imply that the option-like features of VC investments are first-order determinants of risk in VC.
520 $a The second paper, "Intangible Capital and the Investment-q Relation," shows that the neoclassical theory of investment, which has mainly been tested with physical investment, also helps explain intangible investment. At the firm level, Tobin's q explains physical and intangible investment roughly equally well, and it explains total investment even better. Compared with physical capital, intangible capital adjusts more slowly to changes in investment opportunities. The classic q theory performs better in firms and years with more intangible capital: Total and even physical investment are better explained by Tobin's q and are less sensitive to cash flow. At the macro level, Tobin's q explains intangible investment many times better than physical investment. We propose a simple, new Tobin's q proxy that accounts for intangible capital, and we show that it is a superior proxy for both physical and intangible investment opportunities.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
650 4 $a Economic theory. $3 809881
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
690 $a 0511
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of Pennsylvania. $b Finance. $3 1182441
773 0 $t Dissertation Abstracts International $g 78-12A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10270941 $z click for full text (PQDT)