Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability (2009)
Pástor, Lubos, Taylor, Lucian A., Veronesi, Pietro
We develop a model of the optimal initial public offering (IPO) decision in the presence of learning about the average profitability of a private firm. The entrepreneur trades off diversification...
2005): “Judging Fund Managers by the Company They Keep (2007)
Randolph Cohen, Joshua Coval, Gene Fama, Owen Lamont, Rob Stambaugh, Pietro Veronesi, ...
We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which his investment decisions resemble the decisions of managers with distinguished...
Forthcoming in the Review of Financial Studies (2007)
Pietro Veronesi, Gadi Barlevy, Domenico Cuoco, Chris Good, Ravi Jagannathan (the
Merrick, Luis Viceira, Jonathan Wright, and an anonymous referee for their comments on previous versions of
Belief Dependent Utilities, Aversion to State-Uncertainty and Asset Prices (2007)
John Y. Campbell, Micaela Della Torre, Paolo Ghirardato, Lars P. Hansen, Nick Polson, ...
This paper reinterprets standard axioms in choice theory to introduce the concepts of “belief dependent ” utility functions and aversion to “state-uncertainty, ” and it shows that this type...
Alexander David, Pietro Veronesi
Rodos Economic Theory Conference for their comments and discussion. We also thank Gary Anderson for invaluable advice on Mathematica programming, Yubo Wang for his help with options data, and Jim...
The Term Structure of Real Interest Rates: Theory and Evidence from (2007)
Alex Monge, Marcelo Navarro, Antti Ripatti, Thomas J. Sargent, Pietro Veronesi
This paper studies the behavior of the default-risk free real term structure and term premia in two general equilibrium endowment economies with complete markets but without money. In the first...
Meenakshi Sinha, Bhaskaran Swaminathan, Doug Diamond, Gene Fama, Toby Moskowitz, Rob Stambaugh, ...
We reexamine the time-series relation between the conditional mean and variance of stock market returns. To proxy for the conditional mean return, we use the implied cost of capital, computed using...
The Costs of Financial Distress across Industries (2007)
Arthur Korteweg, Nick Polson, Morten Sørensen, Pietro Veronesi, Alan Bester, Hui Chen, ...
In this paper I estimate the market’s opinion of ex-ante costs of financial distress (CFD) from a structurally motivated model of the industry, using a panel dataset of monthly market values of...
Labor Income and Predictable Stock Returns (2006)
Santos, Tano, Veronesi, Pietro
We propose a novel economic mechanism that generates stock return predictability in both the time series and the cross-section. Investors’ income has two sources, wages and dividends that grow...
Labor Income and Predictable Stock Returns* (2005)
Santos, Tano, Veronesi, Pietro
We propose a novel economic mechanism that generates stock return predictability in both the time series and the cross-section. Investors’ income has two sources, wages and dividends, that grow...
Do stock prices and volatility jump? Reconciling evidence from spot and option prices (2004)
Bjrn Eraker, Lars Hansen, Nick Polson, Pietro Veronesi, Mike Johannes, ...
This paper studies the empirical performance of jump-di#usion models that allow for stochastic volatility and correlated jumps a#ecting both prices and volatility. The results show that the models in...
Lubo Sp Astor, Pietro Veronesi, John Cochrane, George Constantinides, Doug Diamond, Frank Diebold, ...
We argue that the number of ¯rms going public changes over time in response to time variation in market conditions. We develop a model of optimal IPO timing in which IPO waves are caused by declines...
Not necessarily. The fundamental value of a ¯rm increases with uncertainty about average future pro¯tability, and this uncertainty was unusually high in the late 1990s. We calibrate a stock...
Stock market volatility in regime shift models /--a thesis presented by Pietro Veronesi. (1997)
Thesis (Ph. D.)--Harvard University, 1997.
Technological Revolutions and Stock Prices
Pástor, Lubos, Veronesi, Pietro
During technological revolutions, stock prices of innovative firms tend to exhibit high volatility and bubble-like patterns, which are often attributed to investor irrationality. We develop a general...
Cash-Flow Risk, Discount Risk, and the Value Premium
A habit persistence, general equilibrium model with multiple assets matches both the time series properties of the market portfolio and the cross-sectional predictability of returns on price sorted...
Labor Income and Predictable Stock Returns
We propose a novel economic mechanism that generates stock return predictability in both the time series and the cross-section. Investors' income has two sources, wages and dividends that grow...
Technological Revolutions and Stock Prices
We develop a general equilibrium model in which stock prices of innovative firms exhibit "bubbles" during technological revolutions. In the model, the average productivity of a new technology is...
Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability
Pástor, Lubos, Taylor, Lucian, Veronesi, Pietro
We develop a model in which an entrepreneur learns about the average profitability of a private firm before deciding whether to take the firm public. In this decision, the entrepreneur trades off...
On the Possibility of Stock Market Crashes in the Absence of Portfolio Insurance
stock market crash on hedging strategies by portfolio insurers, which dictated selling stocks as soon as prices fell. The fact that the practice of buying and selling stocks as portfolio insurance...
Information acquisition in financial markets: a correction
This note provides a proper example for the mechanism of strategic complementarities proposed in our paper. ; Original paper in Review of Economic Studies, January 2000, v. 67, no.1, p. 79–90.
Stock-Based Compensation and CEO (Dis)Incentives
Benmelech, Effi, Kandel, Eugene, Veronesi, Pietro
Stock-based compensation is the standard solution to agency problems between shareholders and managers. In a dynamic rational expectations equilibrium model with asymmetric information we show that...
Information Acquisition in Financial Markets.
Barlevy, Gadi, Veronesi, Pietro
Previous work on information and financial markets has focused on a special set of assumptions: agents have exponential utility, and random variables are normally distributed. These assumptions are...
How Does Information Quality Affect Stock Returns?
Using a simple dynamic asset pricing model, this paper investigates the relationship between the precision of public information about economic growth and stock market returns. After fully...
We argue that the number of firms going public changes over time in response to time variation in market conditions. We develop a model of optimal initial public offering (IPO) timing in which IPO...
Belief Dependent Utilities, Aversion to State-Uncertainty and Asset Prices
This Paper reinterprets standard axioms in choice theory to introduce the concepts of ‘belief dependent’ utility functions and aversion to ‘state-uncertainty’. It shows that this type of...
Stock Valuation and Learning about Profitability
Pástor, Lubos, Veronesi, Pietro
We develop a simple approach to valuing stocks in the presence of learning about average profitability. The market-to-book ratio (M/B) increases with uncertainty about average profitability,...
Pástor, Lubos, Veronesi, Pietro
We develop a model of stock valuation and optimal IPO timing when investment opportunities are time-varying. IPO waves in our model are caused by declines in expected returns, increases in expected...
Was There A Nasdaq Bubble in the Late 1990s?
Pástor, Lubos, Veronesi, Pietro
Not necessarily. The fundamental value of a firm increases with uncertainty about average future profitability, and this uncertainty was unusually high in the late 1990s. We calibrate a stock...
Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model.
This article presents a dynamic, rational expectations equilibrium model of asset prices where the drift of fundamentals (dividends) shifts between two unobservable states at random times. I show...
Labor Income and Predictable Stock Returns
We propose and test a novel economic mechanism that generates stock return predictability on both the time series and the cross section. In our model, investors' income has two sources, wages and...
Stock Valuation and Learning about Profitability
We develop a simple approach to valuing stocks in the presence of learning about average profitability. The market-to-book ratio (M/B) increases with uncertainty about average profitability,...
The Time Series of the Cross Section of Asset Prices
Lior Menzly, Tano Santos, Pietro Veronesi
In this paper we propose a general equilibrium model that successfully reproduces the historical experience of the cross section of US stock prices as well as the realized history of the market...
We develop a model of stock valuation and optimal IPO timing when investment opportunities are time-varying. IPO waves in our model are caused by declines in expected returns, increases in expected...
Empirical evidence shows that conditional market betas vary substantially over time. Yet, little is known about the source of this variation, either theoretically or empirically. Within a general...
Was There a Nasdaq Bubble in the Late 1990s?
Not necessarily. The fundamental value of a firm increases with uncertainty about average future profitability, and this uncertainty was unusually high in the late 1990s. We calibrate a stock...
Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability
Lubos Pastor, Lucian Taylor, Pietro Veronesi
We develop a model in which an entrepreneur learns about the average profitability of a private firm before deciding whether to take the firm public. In this decision, the entrepreneur trades off...
Stock-Based Compensation and CEO (Dis)Incentives
Efraim Benmelech, Eugene Kandel, Pietro Veronesi
Stock-based compensation is the standard solution to agency problems between shareholders and managers. In a dynamic rational expectations equilibrium model with asymmetric information we show that...
Lior Menzly, Tano Santos, Pietro Veronesi
We propose a general equilibrium model with multiple securities in which investors' risk preferences and expectations of dividend growth are time-varying. While time-varying risk preferences induce...
Ľuboš Pástor, Pietro Veronesi
We survey the recent literature on learning in financial markets. Our main theme is that many financial market phenomena that appear puzzling at first sight are easier to understand once we recognize...
Pástor, Luboš, Veronesi, Pietro
We survey the recent literature on learning in financial markets. Our main theme is that many financial market phenomena that appear puzzling at first sight are easier to understand once we recognize...
Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability
Lucian A. Taylor, Pietro Veronesi
We develop a model of the optimal initial public offering (IPO) decision in the presence of learning about the average profitability of a private firm. The entrepreneur trades off diversification...
Pietro Veronesi, Luigi Zingales
We calculate the costs and benefits of the largest ever U.S. Government intervention in the financial sector announced the 2008 Columbus-day weekend. We estimate that this intervention increased the...
Veronesi, Pietro, Zingales, Luigi
We calculate the costs and benefits of the largest ever U.S. Government intervention in the financial sector announced the 2008 Columbus-day weekend. We estimate that this intervention increased the...
Technological Revolutions and Stock Prices
Lubos PÃ stor, Pietro Veronesi
We develop a general equilibrium model in which stock prices of innovative firms exhibit "bubbles" during technological revolutions. In the model, the average productivity of a new technology is...