A unified model of entrepreneurship dynamics

被引：71

作者：

Wang, Chong ^{[2
]}

Wang, Neng ^{[1
,3
]}

Yang, Jinqiang ^{[4
]}

机构：

[1] Columbia Univ, Columbia Business Sch, New York, NY 10027 USA

[2] USN, Grad Sch Business & Publ Policy, Postgrad Sch, Monterey, CA 93943 USA

[3] Natl Bur Econ Res, Cambridge, MA 02138 USA

[4] Shanghai Univ Finance & Econ, Sch Finance, Shanghai 200433, Peoples R China

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2012年 / 106卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Idiosyncratic risk premium; q theory of investment; Liquidity constraints; Precautionary saving; Capital illiquidity; LIQUIDITY CONSTRAINTS; NONDIVERSIFIABLE RISK; CORPORATE-INVESTMENT; INCOMPLETE MARKETS; CAPITAL STRUCTURE; PORTFOLIO CHOICE; PRIVATE EQUITY; LABOR INCOME; CONSUMPTION; RETURNS;

D O I：

10.1016/j.jfineco.2012.05.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop an incomplete-markets q-theoretic model to study entrepreneurship dynamics. Precautionary motive, borrowing constraints, and capital illiquidity lead to underinvestment, conservative debt use, under-consumption, and less risky portfolio allocation. The endogenous liquid wealth-illiquid capital ratio w measures time-varying financial constraint. The option to accumulate wealth before entry is critical for entrepreneurship. Flexible exit option is important for risk management purposes. Investment increases and the private marginal value of liquidity decreases as w decreases and exit becomes more likely, contrary to predictions of standard financial constraint models. We show that the idiosyncratic risk premium is quantitatively significant, especially for low w. (c) 2012 Elsevier B.V. All rights reserved.

引用

页码：1 / 23

页数：23