In contrast to the standard results, we show that investment reversibility and increased volatility of the option to abandon do not increase investment returns for a lumpy project with multiple investors. Increasing an investor's commitment augments the likelihood of project success and exerts a positive externality on other investors' welfare. These effects also imply that the optimal number of investors is either large or small. Using private equity data, we support the model and find a convex relationship between investment performance and syndicate size. Our results have important implications in the debate on the public to private asset allocation shift.
{"title":"Option to Abandon, Syndication and Investment Return","authors":"Suman Banerjee, S. Bonini, Thorsten Janus","doi":"10.2139/ssrn.3501141","DOIUrl":"https://doi.org/10.2139/ssrn.3501141","url":null,"abstract":"In contrast to the standard results, we show that investment reversibility and increased volatility of the option to abandon do not increase investment returns for a lumpy project with multiple investors. Increasing an investor's commitment augments the likelihood of project success and exerts a positive externality on other investors' welfare. These effects also imply that the optimal number of investors is either large or small. Using private equity data, we support the model and find a convex relationship between investment performance and syndicate size. Our results have important implications in the debate on the public to private asset allocation shift.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131781406","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We find that a company’s patent filings and citations are not good measures of RD Bena et al., 2017). Overall, our tests indicate that patents and citations signify the nature of innovation rather R&D success.
我们发现公司的专利申请和引用并不是RD的好指标(Bena et al.， 2017)。总体而言，我们的测试表明，专利和引用表明创新的性质而不是研发成功。
{"title":"Patents Do Not Measure Innovation Success","authors":"D. Reeb, Wanli Zhao","doi":"10.1561/104.00000087","DOIUrl":"https://doi.org/10.1561/104.00000087","url":null,"abstract":"We find that a company’s patent filings and citations are not good measures of RD Bena et al., 2017). Overall, our tests indicate that patents and citations signify the nature of innovation rather R&D success.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128059617","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper studies the implication of banks' money creation and liquidity management for monetary policy. When borrowing fiat money banks use a government bond as collateral, which pays a fixed stream of nominal dividend. A variation in fiat money's quantity alters its unit real value, thereby changing the real value of the bond. Under certain conditions, this change moves banks' lending rates by impacting on their liquidity constraint; therefore, fiat money is non-neutral. In general, any monetary policy, modeled as a change to the aggregate nominal portfolio of the bond and fiat money, moves bank lending rates if it alters the bond-to-fiat money ratio. Moreover, the rates of liquidity unconstrained banks move in the opposite direction to the rates of those maximally constrained. Technological changes that expand digital ways of payment generate inflationary pressures by lightening banks' liquidity burden.
{"title":"Money Creation, Bank Liquidity and Non-neutrality of Monetary Policy","authors":"Tianxi Wang","doi":"10.2139/ssrn.3499593","DOIUrl":"https://doi.org/10.2139/ssrn.3499593","url":null,"abstract":"This paper studies the implication of banks' money creation and liquidity management for monetary policy. When borrowing fiat money banks use a government bond as collateral, which pays a fixed stream of nominal dividend. A variation in fiat money's quantity alters its unit real value, thereby changing the real value of the bond. Under certain conditions, this change moves banks' lending rates by impacting on their liquidity constraint; therefore, fiat money is non-neutral. In general, any monetary policy, modeled as a change to the aggregate nominal portfolio of the bond and fiat money, moves bank lending rates if it alters the bond-to-fiat money ratio. Moreover, the rates of liquidity unconstrained banks move in the opposite direction to the rates of those maximally constrained. Technological changes that expand digital ways of payment generate inflationary pressures by lightening banks' liquidity burden.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124496908","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this study, I explore the role of international bank linkages on firm innovation. I find robust evidence that borrowing from international-linked banks leads firms to become more innovative, in terms of both quantity and quality of innovation outcomes. Firms experience larger innovation gains borrowing more intensively from familiar international-linked banks and have higher growth opportunities in general. I argue that international bank linkages help connected banks share information and screen firms with higher innovation qualities, allowing additional credits available to higher-quality firms in conducting more innovation activities. Overall, the results shed light on the real effects of international bank linkages and the underlying determinants of innovations.
{"title":"International Linkage, Bank Financing, and Firm Innovation","authors":"Yuxi Cheng","doi":"10.2139/ssrn.3493864","DOIUrl":"https://doi.org/10.2139/ssrn.3493864","url":null,"abstract":"In this study, I explore the role of international bank linkages on firm innovation. I find robust evidence that borrowing from international-linked banks leads firms to become more innovative, in terms of both quantity and quality of innovation outcomes. Firms experience larger innovation gains borrowing more intensively from familiar international-linked banks and have higher growth opportunities in general. I argue that international bank linkages help connected banks share information and screen firms with higher innovation qualities, allowing additional credits available to higher-quality firms in conducting more innovation activities. Overall, the results shed light on the real effects of international bank linkages and the underlying determinants of innovations.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129079545","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Manuel Nunes, E. Gerding, Frank McGroarty, M. Niranjan
The importance of bond markets in the financial industry stems from its dimension, its direct relevance for other asset classes and for the overall economy. In this paper, we conduct the first study of bond yield forecasting using deep learning long short-term memory (LSTM) networks, validating the potential of LSTMs networks for that purpose, and identifying the LSTM's memory advantage over standard feedforward neural networks, in particular, the multilayer perceptron (MLP). Specifically, we model the 10-year Euro government bond yield using univariate LSTMs with different input sequences (6, 21 and 61 time steps), considering five forecasting horizons, from next day to 20 days ahead. We compare those LSTM models with MLPs, both univariate as well as using the most relevant features for each forecasting horizon. The results show that the univariate LSTM model with additional memory is capable of achieving similar results as the multivariate MLP using information from markets and the economy. Moreover, the direct comparison of models in identical conditions, i.e. small input sequence of 5 time steps, leads to results with LSTMs that are similar or better with lower standard deviations. Furthermore, with the LSTMs, shorter forecasting horizons require smaller input sequences and vice-versa. In summary, the results are encouraging for the use of LSTMs in decision support systems for the asset management industry, incorporating macroeconomic / market information and adjusting the input sequence length to the forecasting horizon considered.
{"title":"The Memory Advantage of Long Short-Term Memory Networks for Bond Yield Forecasting","authors":"Manuel Nunes, E. Gerding, Frank McGroarty, M. Niranjan","doi":"10.2139/ssrn.3415219","DOIUrl":"https://doi.org/10.2139/ssrn.3415219","url":null,"abstract":"The importance of bond markets in the financial industry stems from its dimension, its direct relevance for other asset classes and for the overall economy. In this paper, we conduct the first study of bond yield forecasting using deep learning long short-term memory (LSTM) networks, validating the potential of LSTMs networks for that purpose, and identifying the LSTM's memory advantage over standard feedforward neural networks, in particular, the multilayer perceptron (MLP). Specifically, we model the 10-year Euro government bond yield using univariate LSTMs with different input sequences (6, 21 and 61 time steps), considering five forecasting horizons, from next day to 20 days ahead. We compare those LSTM models with MLPs, both univariate as well as using the most relevant features for each forecasting horizon. The results show that the univariate LSTM model with additional memory is capable of achieving similar results as the multivariate MLP using information from markets and the economy. Moreover, the direct comparison of models in identical conditions, i.e. small input sequence of 5 time steps, leads to results with LSTMs that are similar or better with lower standard deviations. Furthermore, with the LSTMs, shorter forecasting horizons require smaller input sequences and vice-versa. In summary, the results are encouraging for the use of LSTMs in decision support systems for the asset management industry, incorporating macroeconomic / market information and adjusting the input sequence length to the forecasting horizon considered.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134467162","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-06-30DOI: 10.34218/jom.6.3.2019.015
M. Gupta, Dr. Shashi Shekhar, Dr.Kavita Aggarwal
SME finance is the funding of small and medium-sized enterprises, and represents a major function of the general business finance market – in which capital for different types of firms are supplied, acquired, and coasted or priced. Capital is supplied through the business finance market in the form of bank loans and overdrafts; leasing and hire purchase arrangements; equity/corporate bond issues; venture capital or private equity; asset-based finance such as factoring and invoice discounting, and government funding in the form of grants or loans. In this research paper focus has been laid down on why is strengthening SME financing in India important to reduce debt gap, what are the Alternate lending platforms for fixing India's financial inclusion problem, becoming enablers for SME funding and the various challenges faced, alternate lending platforms to the rescue, the benefits of financial inclusion for India's MSMEs, innovative early stage financing for SMEs in India and the various MSME finance challenges.
{"title":"SME Finance","authors":"M. Gupta, Dr. Shashi Shekhar, Dr.Kavita Aggarwal","doi":"10.34218/jom.6.3.2019.015","DOIUrl":"https://doi.org/10.34218/jom.6.3.2019.015","url":null,"abstract":"SME finance is the funding of small and medium-sized enterprises, and represents a major function of the general business finance market – in which capital for different types of firms are supplied, acquired, and coasted or priced. Capital is supplied through the business finance market in the form of bank loans and overdrafts; leasing and hire purchase arrangements; equity/corporate bond issues; venture capital or private equity; asset-based finance such as factoring and invoice discounting, and government funding in the form of grants or loans. In this research paper focus has been laid down on why is strengthening SME financing in India important to reduce debt gap, what are the Alternate lending platforms for fixing India's financial inclusion problem, becoming enablers for SME funding and the various challenges faced, alternate lending platforms to the rescue, the benefits of financial inclusion for India's MSMEs, innovative early stage financing for SMEs in India and the various MSME finance challenges.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127205823","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
“Risk comes from not knowing what you’re doing.” These simple yet powerful words by the legendary investor Warren Buffett are the main driving forces of this paper. Investing is by no means a simple process and this paper is a step to help anyone associated with and having knowledge of stock market investments to climb the first ladder towards a brighter investment future. The paper focuses on fundamental analysis of 17 global level competing pharmaceutical companies. The main classification used to categorize the companies was the type of drugs they make i.e., branded, generic and oncogenic. Within this broad classification, the companies have been chosen on the basis of their leading revenue numbers. The paper considers 14 important fundamental ratios that help determine which stock is moving high in the market, in the concerned industry, based on both macroeconomic and microeconomic factors. These ratios can also be used to calculate investment prospects for other sectors.
{"title":"Fundamental Analysis of Pharmaceutical Companies","authors":"R. Goel","doi":"10.2139/ssrn.3481238","DOIUrl":"https://doi.org/10.2139/ssrn.3481238","url":null,"abstract":"“Risk comes from not knowing what you’re doing.” These simple yet powerful words by the legendary investor Warren Buffett are the main driving forces of this paper. Investing is by no means a simple process and this paper is a step to help anyone associated with and having knowledge of stock market investments to climb the first ladder towards a brighter investment future. The paper focuses on fundamental analysis of 17 global level competing pharmaceutical companies. The main classification used to categorize the companies was the type of drugs they make i.e., branded, generic and oncogenic. Within this broad classification, the companies have been chosen on the basis of their leading revenue numbers. The paper considers 14 important fundamental ratios that help determine which stock is moving high in the market, in the concerned industry, based on both macroeconomic and microeconomic factors. These ratios can also be used to calculate investment prospects for other sectors.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"35 8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134479814","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The emergence and proliferation of stable cryptocurrencies necessitate the establishment of first order design principles for stable cryptocurrencies. After highlighting the benefits of stable cryptocurrencies for monetary policy making, overall market stability, and their impact on the emergence of decentralized commerce, the authors introduce First Order Principles for stable cryptocurrency design and their essential functions. The core design features and their interoperative feedback effects revolve around: (1) burning coins through bonds vs. reserves, (2) transaction vs. holding taxes, (3) repegging, and (4) governance.
{"title":"Stable Cryptocurrencies - First Order Principles","authors":"C. Calcaterra, Wulf A. Kaal, V. K. Rao","doi":"10.2139/ssrn.3402701","DOIUrl":"https://doi.org/10.2139/ssrn.3402701","url":null,"abstract":"The emergence and proliferation of stable cryptocurrencies necessitate the establishment of first order design principles for stable cryptocurrencies. After highlighting the benefits of stable cryptocurrencies for monetary policy making, overall market stability, and their impact on the emergence of decentralized commerce, the authors introduce First Order Principles for stable cryptocurrency design and their essential functions. The core design features and their interoperative feedback effects revolve around: (1) burning coins through bonds vs. reserves, (2) transaction vs. holding taxes, (3) repegging, and (4) governance.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122158209","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper, we propose a general framework of optimal investment and a collection of trading ideas, which combine probability and statistical theory with, potentially, machine learning techniques, e.g., machine learning regression, classification and reinforcement learning. The trading ideas are easy to implement and their validity is justified by full mathematical rigor. The framework is model-free and can, in principle, incorporate all categories of trading ideas into it. Simulation and backtesting studies show good performance of selected trading strategies under the proposed framework. Sharpe ratios are above 8.00 in simulation study and Sortino ratios are above 4.00 in backtesting, with very limited drawdowns, using 20 years of monthly data of US equities (NASDAQ, NYSE and AMEX from 1999.1 to 2018.12) and 17 years of monthly data of China A-Share equities (Shanghai and Shenzhen Stock Exchange from 2002.1 to 2018.8).
{"title":"A General Framework of Optimal Investment","authors":"Qing Yang, Tingting Ye, Liangliang Zhang","doi":"10.2139/ssrn.3136708","DOIUrl":"https://doi.org/10.2139/ssrn.3136708","url":null,"abstract":"In this paper, we propose a general framework of optimal investment and a collection of trading ideas, which combine probability and statistical theory with, potentially, machine learning techniques, e.g., machine learning regression, classification and reinforcement learning. The trading ideas are easy to implement and their validity is justified by full mathematical rigor. The framework is model-free and can, in principle, incorporate all categories of trading ideas into it. Simulation and backtesting studies show good performance of selected trading strategies under the proposed framework. Sharpe ratios are above 8.00 in simulation study and Sortino ratios are above 4.00 in backtesting, with very limited drawdowns, using 20 years of monthly data of US equities (NASDAQ, NYSE and AMEX from 1999.1 to 2018.12) and 17 years of monthly data of China A-Share equities (Shanghai and Shenzhen Stock Exchange from 2002.1 to 2018.8).","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123863922","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-04-22DOI: 10.16980/JITC.15.2.201904.55
Taehoon Ha, Youngkeun Choi
The purpose of this study is to investigate how the human and social capitals of Korea venture capitalists influence their investment strategy and performance, considering the mediating role of the investment strategy they use. The database in which Korea Venture Investment Corp. recorded the investment or return that took place in the venture investment fund in which they invested was used. The analysis methods employed include descriptive statistics, correlation analysis, and hierarchical regression analysis with the use of the SPSS statistics package. It was found that venture capitalists with an output function background or with more experience in venture investment pursue the strategy of investing in earlier stage ventures or in more specialized industries. It was also found that the strategy of investing in earlier stage ventures mediates the relationship between output function background or more investment experience that venture capitalist has and their investment performance. For contributions and implications, first, this study pioneered the field of venture capitalist research as the first study to study the relation between investment behavior and investment performance at the individual level of venture capitalist list. Second, if venture capitalists are employed in venture capital, practical implications can be provided through the results of this study.
{"title":"A Study of the Relationships among Human and Social Capital of Korean Venture Capitalists, Their Investment Strategies, and Performance","authors":"Taehoon Ha, Youngkeun Choi","doi":"10.16980/JITC.15.2.201904.55","DOIUrl":"https://doi.org/10.16980/JITC.15.2.201904.55","url":null,"abstract":"The purpose of this study is to investigate how the human and social capitals of Korea venture capitalists influence their investment strategy and performance, considering the mediating role of the investment strategy they use. The database in which Korea Venture Investment Corp. recorded the investment or return that took place in the venture investment fund in which they invested was used. The analysis methods employed include descriptive statistics, correlation analysis, and hierarchical regression analysis with the use of the SPSS statistics package. It was found that venture capitalists with an output function background or with more experience in venture investment pursue the strategy of investing in earlier stage ventures or in more specialized industries. It was also found that the strategy of investing in earlier stage ventures mediates the relationship between output function background or more investment experience that venture capitalist has and their investment performance. For contributions and implications, first, this study pioneered the field of venture capitalist research as the first study to study the relation between investment behavior and investment performance at the individual level of venture capitalist list. Second, if venture capitalists are employed in venture capital, practical implications can be provided through the results of this study.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114929330","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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