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- Faculty Publications (201)
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- All HBS Web (344)
- Faculty Publications (201)
- 2022
- Working Paper
On the Estimation of Demand-Based Asset Pricing Models
A growing literature uses portfolio holdings data to quantify the impact of investor demand on equilibrium prices via counterfactual experiments. The key parameter in relating demand and equilibrium prices is investors’ elasticity of demand with respect to the price.... View Details
van der Beck, Philippe. "On the Estimation of Demand-Based Asset Pricing Models." Swiss Finance Institute Research Paper Series, No. 22-67, May 2022.
- August 2020
- Article
Lone Wolves in Competitive Equilibria
By: Ravi Jagadeesan, Scott Duke Kominers and Ross Rheingans-Yoo
This paper develops a class of equilibrium-independent predictions of competitive equilibrium with indivisibilities. Specifically, we prove an analogue of the “Lone Wolf Theorem” of classical matching theory, showing that when utility is perfectly transferable, any... View Details
Jagadeesan, Ravi, Scott Duke Kominers, and Ross Rheingans-Yoo. "Lone Wolves in Competitive Equilibria." Social Choice and Welfare 55, no. 2 (August 2020): 215–228.
- 2017
- Working Paper
Lone Wolves in Competitive Equilibria
By: Ravi Jagadeesan, Scott Duke Kominers and Ross Rheingans-Yoo
This paper develops a class of equilibrium-independent predictions of competitive equilibrium with indivisibilities. Specifically, we prove an analogue of the “Lone Wolf Theorem” of classical matching theory, showing that when utility is perfectly transferable, any... View Details
Jagadeesan, Ravi, Scott Duke Kominers, and Ross Rheingans-Yoo. "Lone Wolves in Competitive Equilibria." Harvard Business School Working Paper, No. 18-055, January 2018.
- 1979
- Article
Approximating the Efficiency Gain of Tax Reforms
By: Jerry R. Green and Eytan Sheshinski
Proper analysis of tax reform requires evaluation of the welfare effects induced by a change from one tax system to another. We present two methods for estimating these changes using only local information pertaining to an initial equilibrium with distortive taxes. It... View Details
Green, Jerry R., and Eytan Sheshinski. "Approximating the Efficiency Gain of Tax Reforms." Journal of Public Economics 11, no. 2 (1979): 179–195.
- Article
The Cost of Capital for Alternative Investments
By: Jakub W. Jurek and Erik Stafford
Traditional risk factor models indicate that hedge funds capture pre-fee alphas of 6% to 10% per annum over the period from 1996 to 2012. At the same time, the hedge fund return series is not reliably distinguishable from the returns of mechanical S&P 500 put-writing... View Details
Keywords: Hedge Funds; Required Returns; Downside Risk; Index Options; Investment Funds; Cost of Capital; Investment Return; Risk and Uncertainty; Financial Services Industry
Jurek, Jakub W., and Erik Stafford. "The Cost of Capital for Alternative Investments." Journal of Finance 70, no. 5 (October 2015): 2185–2226.
- March 2005
- Article
Sovereign Debt As a Contingent Claim: A Quantitative Approach
By: Laura Alfaro and Fabio Kanczuk
We construct a dynamic equilibrium model with contingent service and adverse selection to quantitatively study sovereign debt. In the model, benefits of defaulting are tempered by higher future interest rates. For a wide set of parameters, the only equilibrium is one... View Details
Keywords: Sovereign Finance; Borrowing and Debt; Interest Rates; Balance and Stability; Risk and Uncertainty; Risk Management; Mathematical Methods; Management Style; Segmentation; Debt Securities; Banking Industry
Alfaro, Laura, and Fabio Kanczuk. "Sovereign Debt As a Contingent Claim: A Quantitative Approach." Journal of International Economics 65, no. 2 (March 2005).
- Forthcoming
- Article
Institutional Corporate Bond Pricing
By: Ishita Sen, Lorenzo Bretscher, Lukas Schmid and Varun Sharma
We propose an equilibrium corporate bond pricing model that accommodates the heterogeneity in institutional investors' preferences and mandates in an empirically tractable way. Our model, estimated on rich holdings data, quantifies investors' preferences and demand... View Details
Keywords: Corporate Bonds; Demand Systems; Insurance Companies; Mutual Funds; Liquidity; Bonds; Price; Investment Funds
Sen, Ishita, Lorenzo Bretscher, Lukas Schmid, and Varun Sharma. "Institutional Corporate Bond Pricing." Review of Financial Studies (forthcoming).
- November 2011
- Article
Competing Matchmakers: An Experimental Analysis
By: Tanjim Hossain, Dylan B. Minor and John Morgan
Platform competition is ubiquitous, yet platform market structure is little understood. Theory models typically suffer from equilibrium multiplicity—platforms might coexist or the market might tip to either platform. We use laboratory experiments to study the outcomes... View Details
Keywords: Platform Competition; Two-Sided Markets; E-commerce; Competition; Two-Sided Platforms; Monopoly
Hossain, Tanjim, Dylan B. Minor, and John Morgan. "Competing Matchmakers: An Experimental Analysis." Management Science 57, no. 11 (November 2011): 1913–1925.
- February 1988 (Revised November 1994)
- Background Note
Note on Fundamental Parity Conditions
By: W. Carl Kester and Richard P. Melnick
Provides a simple framework for analyzing expected exchange rate movements. Basic parity and equilibrium conditions are presented including purchasing power parity, forward parity, interest rate parity, the domestic Fisher effect, and the international Fisher effect... View Details
Kester, W. Carl, and Richard P. Melnick. "Note on Fundamental Parity Conditions." Harvard Business School Background Note 288-016, February 1988. (Revised November 1994.)
- Article
Who Will Vote Quadratically? Voter Turnout and Votes Cast Under Quadratic Voting
By: Louis Kaplow and Scott Duke Kominers
Who will vote quadratically in large-N elections under quadratic voting (QV)? First, who will vote? Although the core QV literature assumes that everyone votes, turnout is endogenous. Drawing on other work, we consider the representativeness of endogenously... View Details
Keywords: Voting Turnout; Paradox Of Voting; Quadratic Voting; Pivotality; Elections; Voting; Political Elections; Mathematical Methods
Kaplow, Louis, and Scott Duke Kominers. "Who Will Vote Quadratically? Voter Turnout and Votes Cast Under Quadratic Voting." Special Issue on Quadratic Voting and the Public Good. Public Choice 172, nos. 1-2 (July 2017): 125–149.
- Research Summary
Sovereign Debt as a Contingent Claim: A Quantitative Approach (joint with Fabio Kanczuk)
By: Laura Alfaro
We construct a dynamic equilibrium model with contingent service and adverse selection to quantitatively study sovereign debt. In the model, benefits of defaulting are tempered by higher future interest rates. For a wide parameter, the only equilibrium is one in which... View Details
- 2024
- Working Paper
Consumer Inertia and Market Power
By: Alexander MacKay and Marc Remer
We study the pricing decisions of firms in the presence of consumer inertia. Inertia, which can arise from habit formation, brand loyalty, and switching costs, generates dynamic pricing incentives. These incentives mediate the impact of competition on market power in... View Details
Keywords: Consumer Inertia; Market Power; Dynamic Competition; Demand Estimation; Consumer Behavior; Markets; Performance; Competition; Price
MacKay, Alexander, and Marc Remer. "Consumer Inertia and Market Power." Harvard Business School Working Paper, No. 19-111, April 2019. (Revised January 2024. Direct download.)
- March 2014
- Article
Search Diversion and Platform Competition
By: Andrei Hagiu and Bruno Jullien
Platforms use search diversion in order to trade off total consumer traffic for higher revenues derived by exposing consumers to unsolicited products (e.g., advertising). We show that competition between platforms leads to lower equilibrium levels of search diversion... View Details
Keywords: Market Intermediation; Search; Two-Sided Markets; Platform Design; Platform Competition; Competition; Two-Sided Platforms
Hagiu, Andrei, and Bruno Jullien. "Search Diversion and Platform Competition." International Journal of Industrial Organization 33 (March 2014): 48–60.
- 2011
- Working Paper
Price Competition under Multinomial Logit Demand Functions with Random Coefficients
In this paper, we postulate a general class of price competition models with Mixed Multinomial Logit demand functions under affine cost functions. We first characterize the equilibrium behavior of this class of models in the case where each product in the market is... View Details
Keywords: Customers; Income Characteristics; Price; Product Marketing; Mathematical Methods; Competition; Segmentation
Allon, Gad, Awi Federgruen, and Margaret Pierson. "Price Competition under Multinomial Logit Demand Functions with Random Coefficients." Harvard Business School Working Paper, No. 12-030, October 2011.
- October 1991
- Supplement
Philips' Compact Disc Introduction (B)
Updates students to 1982. Asks students to consider Philips' best strategy for investing in disc-pressing capacity dedicated to the United States market. The analysis draws on game theoretic techniques (in normal form with subgame perfection as the governing... View Details
McGahan, Anita M. "Philips' Compact Disc Introduction (B)." Harvard Business School Supplement 792-036, October 1991.
- 19 May 2020
- News
How to Have a Fun Conversation Again
- Article
Participation Constraints in the Vickrey Auction
By: Jerry R. Green and Jean-Jacques Laffont
Economic agents are characterized by two privately observable parameters: their willingness to pay for an item being auctioned, and their reservation utility level which must be exceeded, in expectation, to induce them to participate in this auction. This creates a... View Details
Green, Jerry R., and Jean-Jacques Laffont. "Participation Constraints in the Vickrey Auction." Economics Letters 16, nos. 1-2 (1984): 31–36.
- January 2021
- Article
Chain Stability in Trading Networks
By: John William Hatfield, Scott Duke Kominers, Alexandru Nichifor, Michael Ostrovsky and Alexander Westkamp
We show that in general trading networks with bilateral contracts, a suitably adapted chain stability concept (Ostrovsky, 2008) is equivalent to stability (Hatfield and Kominers, 2012; Hatfield et al., 2013) if all agents' preferences are fully substitutable and... View Details
Keywords: Matching; Trading Networks; Chain Stability; Stability; Competitive Equilibria; Full Substitutability; Laws Of Aggregate Supply And Demand; Contracts; Market Design; Balance and Stability
Hatfield, John William, Scott Duke Kominers, Alexandru Nichifor, Michael Ostrovsky, and Alexander Westkamp. "Chain Stability in Trading Networks." Theoretical Economics 16, no. 1 (January 2021): 197–234.
- February 2013
- Article
Commercial Property Rent Dynamics in U.S. Metropolitan Areas: An Examination of Office, Industrial, Flex and Retail Space
By: Maria Ibanez and Anthony Pennington-Cross
This paper is concerned with the market rental rate for space offered by commercial property and how that rental rate evolves over time. Rental rates reflect the value of the services provided by the property and can have a significant impact on the ability of its... View Details
Keywords: Commercial Real Estate; Rent Dynamics; Office Property; Flex Property; Retail Property; Industrial Property; Property; Real Estate Industry; United States
Ibanez, Maria, and Anthony Pennington-Cross. "Commercial Property Rent Dynamics in U.S. Metropolitan Areas: An Examination of Office, Industrial, Flex and Retail Space." Journal of Real Estate Finance and Economics 46, no. 2 (February 2013): 232–259.
- Article
The Price of Anarchy of Self-Selection in Tullock Contests
By: Hau Chan, David C. Parkes and Karim R. Lakhani
Crowdsourcing platforms operate by offering their clients the ability to obtain cost-effective solutions for their problems through contests. The top contestants with the best solutions are rewarded, and the submitted solutions are provided to the clients. Within the... View Details
Chan, Hau, David C. Parkes, and Karim R. Lakhani. "The Price of Anarchy of Self-Selection in Tullock Contests." Proceedings of the International Conference on Autonomous Agents and Multiagent Systems (AAMAS) 19th (2020): 1795–1797.