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通知通告

金融学系列讲座(2009-12-24)

时间:2009-12-22

问题:Entrepreneurial Finance and Non-diversifiable Risk报告人:Neng Wang (ColumbiaUniversity)

时间:12月24日(周四)10:00-11:30am

所在:伟易博新楼216课堂

摘要:Entrepreneurs face significant non-diversifiable business risks. We build a dynamic incompletemarkets model of entrepreneurial firms to demonstrate the important implications of nondiversifiable risks for entrepreneurs’ interdependent consumption, portfolio allocation, financing, investment, and business exit (cash-out and default) decisions. The optimal capital structure is determined by a generalized tradeoff model where risky debt provides significant diversification benefits. Non-diversifiable risks have several important implications: (1) more risk-averse entrepreneurs default earlier, but optimaly choose higher leverage, even though leverage makes his equity more risky; (2) lack of diversification causes entrepreneurial firms to underinvest relative to public firms, and allowing for risky debt partially alleviates this problem; (3) entrepreneurial risk aversion can overturn the risk-shifting incentives induced by risky debt. We also examine cash-out option and external equity as additional channels for diversification, and analytically

characterize the idiosyncratic risk premium that under-diversified entrepreneurs demand for holding the firm.

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