In this paper we conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD) using several analytical approaches as well as parametric and nonparametric bootstrap methods. We do so for two different PD estimation methods, cohort and duration...

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. We derive fat-tailed correlated loss distributions arising from Gaussian (i.e....

In this paper we conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD) using several analytical approaches from large sample theory as well as bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods, cohort...

We use differences between the attributes of stock issuers and repurchasers to forecast characteristic-related stock returns. For example, we show that large firms underperform following years when issuing firms are large relative to repurchasing firms. Our approach is useful for forecasting...

In this paper we conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD) using several analytical approaches as well as parametric and nonparametric bootstrap methods. We do so for two different PD estimation methods, cohort and duration...

In his famous article, quot;The Nature of the Firm,quot; Ronald Coase (1937) raised two fundamental questions that have spawned a large body of research: Do firm boundaries affect the allocation of resources? And, what determines where firm boundaries are drawn? While the first of these...

This paper argues that a large component of success in entrepreneurship and venture capital can be attributed to skill. We show that entrepreneurs with a track record of success are more likely to succeed than first time entrepreneurs and those who have previously failed. Funding by more...

It is well documented that the venture capital industry is highly volatile and that much of this volatility is associated with shifting valuations and activity in public equity markets. This paper examines how changes in public market signals affected venture capital investing between 1975 and...

This paper examines the factors that lead to the creation of venture capital backed start-ups, a process we term quot;entrepreneurial spawning.quot; We contrast two alternative views of the spawning process. In one view, employees of established firms are trained and conditioned to be...

This paper compares the clinical trial strategies and performance of large, established (quot;maturequot;) biopharmaceutical firms to those of smaller (quot;early stagequot;) firms that have not yet successfully developed a drug. We study a sample of 235 cancer drug candidates that entered...