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Everything You Always Wanted to Know about Inventors (But Never Asked): Evidence from the PatVal-EU Survey

Brusoni, Stefano; Crespi, Gustavo; Francoz, Dominique; … - C.E.P.R. Discussion Papers - 2006

Based on a survey of the inventors of 9,017 European patented inventions, this paper provides new information about the characteristics of European inventors, the sources of their knowledge, the importance of formal and informal collaborations, the motivations to invent, and the actual use and...

Persistent link: https://www.econbiz.de/10005124480

Venture Capital and Industrial ''Innovation''

Hirukawa, Masayuki; Ueda, Masako - C.E.P.R. Discussion Papers - 2008

measure of innovation alternative to patent count. Unlike the impact on patent count, we do not find that VC investment … impact on patent count at industry level, and this impact is larger than that of R&D expenditures. We confirm that this … and material. Therefore, our finding suggests that, at industry level, VC investment increases the patent propensity but …

Persistent link: https://www.econbiz.de/10005136420

Are Retail Traders Compensated for Providing Liquidity?

Barrot, Jean-Noël; Kaniel, Ron; Sraer, David - C.E.P.R. Discussion Papers - 2014

This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they are compensated for doing so.We show that the ability of aggregate retail order imbalances, contrarian in nature, to predict short-term future returns is significantly enhanced...

Persistent link: https://www.econbiz.de/10011096103

A Theory of Asset Prices based on Heterogeneous Information

Albagli, Elias; Hellwig, Christian; Tsyvinski, Aleh - C.E.P.R. Discussion Papers - 2013

With only minimal restrictions on security payoffs and trader preferences, noisy aggregation of heterogeneous information drives a systematic wedge between the impact of fundamentals on the price of a security, and the corresponding impact on cash flow expectations. From an ex ante perspective,...

Persistent link: https://www.econbiz.de/10011083236

Man or machine? Rational trading without information about fundamentals

Rossi, Stefano; Tinn, Katrin - C.E.P.R. Discussion Papers - 2014

We present a model of quantitative trading as an automated system under human supervision. Contrary to previous literature we show that price-contingent trading is the profitable equilibrium strategy of large rational agents in efficient markets. The key ingredient is uncertainty about whether a...

Persistent link: https://www.econbiz.de/10011083393

Momentum Trading, Return Chasing, and Predictable Crashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - C.E.P.R. Discussion Papers - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine over 140 years of risk and return of one of the most popular mechanical trading strategies—momentum. We find that the momentum strategy has earned abnormally high risk-adjusted returns—a...

Persistent link: https://www.econbiz.de/10011083413

Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition

Chen, Zhihua; Lookman, Aziz; Schürhoff, Norman; Seppi, … - C.E.P.R. Discussion Papers - 2012

The 2005 inclusion of Fitch ratings in the Lehman composite index ratings provides a quasi-natural experiment to identify rating-based market segmentation in the corporate bond market. Split-rated bonds with favorable Fitch rating that were mechanically upgraded to investment-grade status...

Persistent link: https://www.econbiz.de/10011083426

Lehman Brothers: What Did Markets Know?

Gehrig, Thomas; Haas, Marlene - C.E.P.R. Discussion Papers - 2014

On September 15, 2008, Lehman Brothers Inc. announced their filing for bankruptcy. The reaction of Lehman's competitors and market participants to this bankruptcy filing announcement provides a unique field experiment of how the insolvency spills over to other financial institutions and how...

Persistent link: https://www.econbiz.de/10011083604

Buffett’s Alpha

Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2013

Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes insignificant when controlling for exposures to...

Persistent link: https://www.econbiz.de/10011083650

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...

Persistent link: https://www.econbiz.de/10011083673