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Show Results For
- All HBS Web
(857)
- News (89)
- Research (668)
- Events (1)
- Multimedia (2)
- Faculty Publications (331)
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- 1999
- Chapter
The Pricing of US Catastrophe Reinsurance
By: K. Froot and P. O'Connell
Keywords: Financial Markets; Catastrophe Risk; Corporate Finance; Cost Of Capital; Banking And Insurance; Asset Pricing; Hedging; Banking; Insurance; Natural Disasters; Policy; Risk Management; Insurance Industry; United States
Froot, K., and P. O'Connell. "The Pricing of US Catastrophe Reinsurance." In The Financing of Catastrophe Risk, edited by Kenneth A. Froot, 195–232. Chicago: University of Chicago Press, 1999. (Revised from NBER Working Paper No. 6043, May 1997, and HBS Working Paper No. 98-018, September 1997.)
- 2022
- Article
The Pricing and Ownership of U.S. Green Bonds
By: Malcolm Baker, Daniel Bergstresser, George Serafeim and Jeffrey Wurgler
We study green bonds, which are bonds whose proceeds are used for environmentally sensitive purposes. After an overview of the U.S. corporate and municipal green bonds markets, we study pricing and ownership patterns using a simple framework that incorporates assets... View Details
Keywords: Green Bond; Pricing; Climate Finance; ESG; SRI; Sustainable; Municipal; Bonds; Environmental Sustainability; Financial Markets; Price; Ownership; United States
Baker, Malcolm, Daniel Bergstresser, George Serafeim, and Jeffrey Wurgler. "The Pricing and Ownership of U.S. Green Bonds." Annual Review of Financial Economics 14 (2022): 415–437.
- December 2011
- Article
Stock Price Fragility
By: Robin Greenwood and David Thesmar
We investigate the relationship between ownership structure of financial assets and non-fundamental risk. We define an asset to be fragile if it is susceptible to non-fundamental trading shocks. An asset can be fragile because of concentrated ownership or because its... View Details
Keywords: Stocks; Price; Ownership; Risk and Uncertainty; Assets; System Shocks; Financial Liquidity; Forecasting and Prediction; Investment Return; Volatility; Relationships; United States
Greenwood, Robin, and David Thesmar. "Stock Price Fragility." Journal of Financial Economics 102, no. 3 (December 2011): 471–490.
- 2009
- Working Paper
Stock Price Fragility
By: Robin Greenwood and David Thesmar
We investigate the relationship between ownership structure of financial assets and non-fundamental risk. An asset is fragile if its owners collectively have to buy or sell. Such assets are susceptible to non-fundamental price movements. An asset can be fragile because... View Details
Keywords: Financial Liquidity; Stocks; Price; Market Transactions; Ownership; Risk and Uncertainty; United States
Greenwood, Robin, and David Thesmar. "Stock Price Fragility." Harvard Business School Working Paper, No. 10-031, October 2009.
- 04 Feb 2015
- Working Paper Summaries
Markets with Price Coherence
Keywords: by Benjamin Edelman & Julian Wright
- Research Summary
Pricing and Promotions
Price promotions offered by product manufacturers to channel intermediaries are the subject of much current debate, as well as attempts by packaged goods manufacturers to curb, if not eliminate, their use. Samuel S. Chun's research, which includes the development of... View Details
- Forthcoming
- Article
Segmented Arbitrage
We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 32 arbitrage spreads that we study is 22%. These low correlations are... View Details
Keywords: Financial Intermediation; Arbitrage; Intermediary-based Asset Pricing; Finance; Segmentation
Siriwardane, Emil, Adi Sunderam, and Jonathan Wallen. "Segmented Arbitrage." Journal of Finance (forthcoming).
- 17 Jan 2014
- Working Paper Summaries
Price Coherence and Adverse Intermediation
- 30 Aug 2004
- Research & Ideas
Real Estate: The Most Imperfect Asset
As a driver of both the overall economy and of individual wealth, real estate is pretty hard to beat. As Harvard Business School professor Arthur Segel says, real estate is the largest asset class in the world—the value of housing in the... View Details
- December 2002
- Article
The Pricing of Event Risks with Parameter Uncertainty
By: K. A. Froot and S. Posner
Keywords: Catastrophe Risk; Corporate Finance; Cost Of Capital; Banking And Insurance; Asset Pricing; Hedging; Banking; Insurance; Decision Choice And Uncertainty; Financial Markets; Policy; Risk Management; Natural Disasters; Insurance Industry
Froot, K. A., and S. Posner. "The Pricing of Event Risks with Parameter Uncertainty." Geneva Papers on Risk and Insurance: Theory 27, no. 2 (December 2002): 153–165. (Revised from NBER Working Paper no. 8106, February 2001.)
- 27 Oct 2009
- Working Paper Summaries
Stock Price Fragility
Keywords: by Robin Greenwood & David Thesmar
- 2008
- Working Paper
Long-Run Stockholder Consumption Risk and Asset Returns
By: Christopher J. Malloy, Tobias J. Moskowitz and Annette Vissing-Jorgensen
We provide new evidence on the success of long-run risks in asset pricing by focusing on the risks borne by stockholders. Exploiting micro-level household consumption data, we show that long-run stockholder consumption risk better captures cross-sectional... View Details
Malloy, Christopher J., Tobias J. Moskowitz, and Annette Vissing-Jorgensen. "Long-Run Stockholder Consumption Risk and Asset Returns." Harvard Business School Working Paper, No. 08-060, January 2008.
- December 2009
- Article
Long-Run Stockholder Consumption Risk and Asset Returns
By: Christopher J. Malloy, Tobias J. Moskowitz and Annette Vissing-Jorgensen
We provide new evidence on the success of long-run risks in asset pricing by focusing on the risks borne by stockholders. Exploiting micro-level household consumption data, we show that long-run stockholder consumption risk better captures cross-sectional variation in... View Details
Malloy, Christopher J., Tobias J. Moskowitz, and Annette Vissing-Jorgensen. "Long-Run Stockholder Consumption Risk and Asset Returns." Journal of Finance 64, no. 6 (December 2009): 2427–2480. (Finalist for the 2010 Smith Breeden Prize for the best paper in the Journal of Finance.)
- December 2023
- Article
Intermediary Balance Sheets and the Treasury Yield Curve
By: Wenxin Du, Benjamin Hebert and Wenhao Li
We document a regime change in the Treasury market post-Global Financial Crisis (GFC): dealers switched from net short to net long Treasury bonds. We construct “net-long” and “net-short” curves that account for balance sheet and financing costs, and show that actual... View Details
Du, Wenxin, Benjamin Hebert, and Wenhao Li. "Intermediary Balance Sheets and the Treasury Yield Curve." Art. 103722. Journal of Financial Economics 150, no. 3 (December 2023).
- 2024
- Working Paper
Fire Sales of Safe Assets
By: Gabor Pinter, Emil Siriwardane and Danny Walker
We use trade-level data to study price pressure effects in the UK gilt market from September to October 2022. During this period, forced sales by liability-driven investment funds (LDIs) led to price discounts on the order of 10%, accounting for roughly half the total... View Details
Pinter, Gabor, Emil Siriwardane, and Danny Walker. "Fire Sales of Safe Assets." Harvard Business School Working Paper, No. 25-015, September 2024.
- Research Summary
The Role of Financial and Information Intermediaries in the Capital Markets
Hutton's research investigates the role of financial analysts and short sellers in the pricing of equity securities. Recently, Hutton examines (with Patricia Dechow and Richard Sloan) the role of sell-side analysts' earnings forecasts in the pricing of common equity... View Details
- 15 Aug 2016
- Working Paper Summaries
Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds
- 2022
- Working Paper
Heterogeneous Investors and Stock Market Fluctuations
By: Odhrain McCarthy and Sebastian Hillenbrand
We introduce a heterogeneous agent model which features extrapolative beliefs and time-varying risk aversion. The model leads to an empirical framework which we estimate with stock prices, survey data and risk aversion measures. We find that extrapolative beliefs and... View Details
McCarthy, Odhrain, and Sebastian Hillenbrand. "Heterogeneous Investors and Stock Market Fluctuations." Working Paper, January 2022.
- 21 Nov 2005
- Research & Ideas
Making Credibility Your Strongest Asset
was a profitable venture from the start. Several years later, when the Patriots were once again on the market, Kraft had greatly increased his leverage to buy the team by knocking out most of the competition. The old ownership tried to force Kraft to put a View Details
Keywords: by Michael Wheeler
- June 2014 (Revised May 2017)
- Case
Southeastern Asset Management Challenges Buyout at Dell
By: Paul Healy, Suraj Srinivasan and Aldo Sesia
In late 2012, Michael Dell wants to take Dell Inc., the company he founded, private. Mr. Dell believes that the successful company's transformation from a personal computer (PC) manufacturer to an enterprise solutions and services provider (ESS) is dependent on going... View Details
Keywords: Leveraged Buyout Transaction; Leveraged Recapitalization; Management Buyout; Dell, Inc.; Hedge Fund; Corporate Governance Theory; Valuation; Valuation Ratios; Valuation Methodologies; Board Of Directors; Boards Of Directors; Carl Icahn; Computer Services Industries; Proxy Contest; Proxy Battles; Proxy Fight; Proxy Advisor; Financial Accounting; Financial Analysis; Financial Ratios; Finance; Corporate Accountability; Corporate Governance; Corporate Finance; Leveraged Buyouts; Computer Industry; United States
Healy, Paul, Suraj Srinivasan, and Aldo Sesia. "Southeastern Asset Management Challenges Buyout at Dell." Harvard Business School Case 114-015, June 2014. (Revised May 2017.)