中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

公司财务--风险投资
工作论文
2011-03-24 第3卷 第3期

编: 清华大学经管学院金融学教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

The Role of Venture Capital in Listed Companies Evidence from Mainland China

Ming Sun University of Electronic Science and Technology of ChinaSchool of Management and Economics
Sihai Fang University of Electronic Science and Technology of ChinaSchool of Management and Economics

Idiosyncratic Risk of New Ventures: An Option-Based Theory and Evidence

Susan Feng Boston UniversitiyBoston Universitiy
Xi Dong Boston CollegeBoston College

Construction Strategy of VCs’ Firms Portfolio from Industrial Organization Perspective:Empirical evidence from Mainland

Renyou Tan University of Electronic Science and Technology of ChinaSchool of Management and Economics
Sihai Fang University of Electronic Science and Technology of ChinaSchool of Management and Economics


论文摘要

The Role of Venture Capital in Listed Companies Evidence from Mainland China

Ming Sun University of Electronic Science and Technology of ChinaSchool of Management and Economics
Sihai Fang University of Electronic Science and Technology of ChinaSchool of Management and Economics

We empirically examine the role of venture capital in VC-backed listed firms in Mainland China using the data of SME Board of ShenZhen Stock Exchange from June 2004 to June 2007. Contrary to the evidence from the US, we find that the VC-backed firms in Mainland China experience higher underpricing, which is not owing to the lower pricing in the primary market but the investors in the second market are too optimistic about the prospect of the VC-backed firms. In addition, the pre- and post-IPO operating performance of VC-backed firms is significantly better than that of nonVC-backed ones. Our finding supports the monitoring hypothesis that the VC-backed firms perform better than nonVC-backed firms before and after IPO for the monitoring of VC funds. Moreover, it is found that high-reputation VC-backed firms have a better post-IPO operating and market performance compared to low-reputation VC-backed ones, which is consistent with the grandstanding hypothesis proposed by Gompers (1996). However, there is no evidence to support the certification hypothesis proposed by Megginson and Weiss (1990) that VC-backed firms have a lower underpricing in the IPO performance.

Idiosyncratic Risk of New Ventures: An Option-Based Theory and Evidence

Susan Feng Boston UniversitiyBoston Universitiy
Xi Dong Boston CollegeBoston College

This paper studies idiosyncratic risk of new ventures. An option-based model of a new venture with multistage investments and jumps is developed. Our model ex- plains (1) why new ventures?idiosyncratic volatility eventually decreases as they clear R&D investment stages and become mature ?rms ?the stage-clearing e¤ect; (2) the negative relation between jumps in value and subsequent idiosyncratic volatility ?the jump e¤ect; (3) the dynamics of idiosyncratic volatility under di¤erent schedules of staged venture capital investments; and (4) the e¤ect of di¤erent schedules of staged investments on ?rm valuation with the presence of jumps. Empirically, we develop a generalized Markov-Switching EARCH model to simultaneously capture structural changes in ?rms?idiosyncratic volatility and the relation between jumps and idiosyn- cratic volatility. Using a hand-collected dataset of early-stage biotech ?rms, we ?nd empirical evidence supporting the jump e¤ect and the stage-clearing e¤ect described by our model.

Construction Strategy of VCs’ Firms Portfolio from Industrial Organization Perspective:Empirical evidence from Mainland

Renyou Tan University of Electronic Science and Technology of ChinaSchool of Management and Economics
Sihai Fang University of Electronic Science and Technology of ChinaSchool of Management and Economics

Using a proprietary dataset collected through a survey targeted to VC funds in Mainland China, we examine the impact of constructing VCs’ firms portfolio from industrial organization perspective on investment efficiency, portfolio size and structure of profit sharing. The results indicate that constructing VCs’ firms portfolio from industrial organization perspective improves investment efficiency because it reduces over investment and increases investment return. Moreover, it also further explains the disparities of VC’s portfolio size and structure of profit sharing between Mainland China and Western Countries. Additional tests provide evidence to suggest that the government assistance to VC industry has obvious political objectives in Mainland China.


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