Publication Search Results

Now showing 1 - 5 of 5
  • (2020) Yao, Yufeng
    I investigate the role of foreign patents (patents issued in countries outside of the US) in US firms’ patent portfolios. Foreign patents are substantial and prevalent for US firms. Foreign patents form about 39% of the average patent portfolio of US firms. Firms with foreign patent applications are financially stable, and these firms have a higher percentage of foreign sales to total sales. Besides, I exploit exogenous shocks to foreign sales (free trade agreements and bilateral investment treaties) to identify the effect of foreign sales on the propensity to foreign patent. I find firms with a larger percentage of foreign sales have a higher propensity to foreign patent. Additional analysis reveals US firms have a higher propensity to patent in countries with strong patent rights.

  • (2021) Bay, Joshua
    This paper explores extensive asset allocation possibilities and asset pricing tests shedding light into the cross-sectional and time-varying nature of combining multi-asset alternative risk premia. Existing literature in the multi-asset risk premia space is limited in terms of allocation studies as most research on combining factor exposures are only in the single-stock equity space. The literary gap is further exacerbated over the last decade with the explosion of new factors discovered. To address this, key asset allocation techniques commonly used in allocating across long-only traditional asset classes and equity factors are applied to multi-asset risk premia. The results seem to suggest the key assumptions of expected returns, followed by expected risks, higher moments and then lastly correlations in this order of importance are associated with building portfolios with higher risk-reward. To the best of my knowledge, this is one of the first papers that provide a comprehensive and practical study of a wide array of portfolio implementation approaches to multi-asset risk premia. This paper serves as an annex for investors to better understand the interaction and concentration of multi-asset risk premia exposures to meet their desired investment profiles.

  • (2020) Weng, Xiaochuan
    The Mandatory Bid Rule (MBR) requires a bidder who acquires control over a firm to make a general offer to all remaining shareholders to purchase their residual shares. It is the most powerful institution that requires controlling shareholders to share the control premium with other shareholders in a control transaction. The MBR is considered to be a key method of protection for minority shareholders, but nevertheless faces strong criticism over high implementation costs and an on-going debate over its effectiveness in practice. From a utilitarianism perspective, the paper shows the relevance between the MBR and the effectiveness of minority shareholder protection mechanisms in a jurisdiction of legal transplantation. Using Mainland China as the test sample where the MBR was adopted, removed then re-introduced, the paper employs the empirical research methodology to highlight market reactions when the rule is removed. The paper analyses the efficiency of the MBR and outlines the types of environments and jurisdictional specifications where the MBR can operate at an optimal level, and alternatively, where the MBR will not be value-maximizing. It offers ideal legislation suggestions for similar jurisdictions considering transplanting MBR.

  • (2022) Salman Zadeh Seysan, Rastin
    Using the VC industry as a laboratory, we investigate whether incidental in-person interactions between people working in close proximity facilitate their future collaboration on projects of significant economic value. Our analysis exploits urban topological features surrounding VC fund offices that generate exogenous variations in the likelihood of incidental in-person interactions. We show that such variations influence syndicate partner choice among VCs within narrowly defined (walkable) geographic zones. Workplace smoking bans affecting social smoking appear to reduce such effects. Weather patterns that exogenously restrict VC fund managers’ outdoor activity are also shown to moderate the role played by incidental encounters. Our results cannot be explained by VCs’ characteristics, prior relationships, and portfolio firms’ locations. Finally, syndicated deals driven by in-person interactions do not appear to generate superior returns.

  • (2021) Besley, Michael
    Both industry and academic research document the sustained outperformance of Australian small capitalisation (cap) managers with regard to market benchmarks and standard academic models. In contrast to both their large company peers and overseas fund manager returns, the high relative returns generated by these small company managers have continued despite increased competition from new managers. This paper confirms the persistence of these anomalous returns and explores the sources of alpha generation by Australian small cap managers. The commonly used Carhart factor model does not explain the persistence of this alpha. Carhart alpha averages 0.3% per month for the group, with 22 out of 46 funds having statistically significant alphas. By adding a combination of factors to the standard Carhart model approximately two thirds of this alpha can be explained. These factors include betting against beta, avoidance of stocks with lottery characteristics, a preference for stocks with strong profitability and strong balance sheets while avoiding ‘junk’ stocks. After controlling for all these factors, average alpha declines to 0.08% per month with only four funds still having statistically significant alpha. While most managers avoid high beta and lottery stocks, the better performing funds demonstrate higher loadings away from lottery and distressed stocks and towards profitability factors than their poorer performing peers.