This paper assesses the possible contemporaneous relationship between stock index prices, earnings and long-term government bond yields for a large number of countries and over a time period that spans several decades. In a cointegration framework, our analysis looks at three hypotheses. First,...

This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2, 2002 to April 30, 2003 time period. Using transaction and order book data for some large- and mid-cap Brussels-traded stocks on Euronext, we study the ex-ante liquidity vs...

This paper explores whether private equity firms that are new to the industry take excessive risks relative to funds from established firms. We use differences between the implicit incentives of managers of experienced and of novice funds as identification strategy. We find that novice funds...

Using a firm-level perspective, this study examines the effect of specialization on the fundraising activities of private equity (PE) firms. In the empirical analysis, we consider three dimensions of specialization: stage, industry and geographic location. Using a large sample of U.S. PE firms,...

Using density forecast evaluation techniques we compare the predictive performance of econometric specifications that have been developed for modeling duration processes in intra-day financial markets. The model portfolio encompasses various variants of the Autoregressive Conditional Duration...

This paper examines the dynamics of exit options for US venture capital funds. Using a sample of more than 20,000 investment rounds, we analyze the time to 'IPO', 'trade sale' and 'liquidation' for 6,000 VC-backed firms. We model these exit times using competing risks models, which allow for a...