Ryan Heath Peters

Ryan Heath Peters

Contact Information

Research Interests: corporate finance, entrepreneurship, investment policy, macro-finance, venture capital

Links: CV, Personal Website

Overview

CONTACT INFORMATION:

2419 Steinberg-Dietrich Hall, 3620 Locust Walk, Philadelphia, PA 19104

petersry@wharton.upenn.edu

(813) 391-1917

 

JOB MARKET PAPER

Volatility and Venture Capital

The performance of venture capital (VC) investments loads positively on shocks to aggregate asset volatility. I document this novel source of risk at the asset-class, fund, and portfolio-company levels. At the asset-class level, shocks to aggregate volatility explain a substantial fraction of VC returns. The positive relation between VC performance and volatility is driven by the option-like structure of VC investments, especially by VCs’ contractual option to reinvest. Consistent with the reinvestment channel, the volatility shocks that matter most are those that arrive two to four years after the fund’s formation. Also consistent with the channel, volatility shocks correlate with faster and more frequent reinvestment. All of these relations are concentrated in early-stage VC funds, which are more likely to have embedded reinvestment options. The level of volatility has no relation with future performance, consistent with competitive markets. Overall, my results imply that the option-like features of VC investments are first-order determinants of risk in VC.

publications

Intangible Capital and the Investment-q Relation (with Lucian A. Taylor), Forthcoming Journal of Financial Economics

Using Stock Returns to Identify Government Spending Shocks (with Jonas D.M. Fisher), The Economic Journal

 

EDUCATION

THE WHARTON SCHOOL, UNIVERSITY OF PENNSYLVANIA (2011 – PRESENT)

— PH.D. IN FINANCE (IN PROGRESS)

— M.A. IN FINANCE (COMPLETED)

THE UNIVERSITY OF CHICAGO (2003 – 2007)

  — B.A. IN STATISTICS, B.A. IN ECONOMICS, B.A. IN MATHEMATICS

 

fellowships, AWARDS AND RESEARCH support

  • Research Affiliate, Private Equity Research Consortium (2016)
    Wharton Finance Doctoral Fellowship (2016-2017)
    Research Grant, Rodney L White Center for Financial Research (2015)
    Research Fellowship, Mack Institute for Innovation Management (2015)
    Wharton Doctoral Travel Award (2014, 2015)
    University of Pennsylvania Dean’s Fellowship for Distinguished Merit (2011-2015)

 

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Research

  • Ryan Heath Peters (Work In Progress), Volatility and Venture Capital.
  • Ryan Heath Peters and Luke Taylor (Forthcoming), Intangible Capital and the Investment-q Relation. Abstract

    Including intangible capital significantly changes how we evaluate theories of investment. We show that including intangible capital in measures of investment and Tobin’s q produces a stronger investment-q relation, especially in macroeconomic data and in firms that use more intangibles. These results lend support to the classic q theory of investment, and they call for the inclusion of intangible capital in proxies for firms’ investment opportunities. However, including intangible capital also makes the investment-cash flow relation almost an order of magnitude stronger, which supports newer investment theories. The classic q theory performs better in settings with more intangible capital.

  • Ryan Heath Peters and Jonas DM Fisher (2010), Using Stock Returns to Identify Government Spending Shocks, The Economic Journal, Volume 120 (Issue 544), pp. 414-436. Abstract

    This article explores a new approach to identifying government spending shocks which avoids many of the shortcomings of existing approaches. The new approach is to identify government spending shocks with statistical innovations to the accumulated excess returns of large US military contractors. This strategy is used to estimate the dynamic responses of output, hours, consumption and real wages to a government spending shock. We find that positive government spending shocks are associated with increases in output, hours and consumption. Real wages initially decline after a government spending shock and then rise after a year. We estimate the government spending multiplier associated with increases in military spending to be about 1.5 over a horizon of 5 years.

Teaching

Past Courses

  • BEPP9500 - Managerial Economics

    Public goods, externalities, uncertainty, and income redistribution as sources of market failures; private market and collective choice models as possible correcting mechanisms. Microeconomic theories of taxation and public sector expenditures. The administration and organization of the public sector.

Awards And Honors

  • Wharton Finance Doctoral Fellowship, 2016
  • Research Affiliate, Private Equity Research Consortium, 2016
  • Research Fellowship, Mack Institute for Innovation Management, 2015
  • Research Grant, Rodney L White Center for Financial Research, 2015
  • Univ. of Penn Dean's Fellowship for Distinguished Merit, 2011

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Latest Research

Ryan Heath Peters (Work In Progress), Volatility and Venture Capital.
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Awards and Honors

Wharton Finance Doctoral Fellowship 2016
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