Publications

November 2006
Case

Selling Biovail Short

By: Malcolm P. Baker, Chris Lombardi and Aldo Sesia

Hedge fund SAC Capital and analysts from Gradient Analytics and Banc of America face charges of stock price manipulation from Biovail, a Canadian pharmaceutical company. Gradient and BofA produced negative reports on Biovail's earnings quality. At the same time, SAC... View Details

Keywords: Stock Shares; Investment Banking; Asset Pricing; Financial Strategy; Crime and Corruption; Pharmaceutical Industry; Financial Services Industry; Canada

September 2006
Case

Stedman Place: Buy or Rent?

By: Andre F. Perold and David S. Scharfstein

A couple has to decide whether to continue renting a townhouse or buy the one next door. Allows for a discussion of net present value, internal rate of return, and the costs and benefits of homeownership. View Details

Keywords: Cost vs Benefits; Decisions; Asset Pricing; Investment Return; Housing; Family Ownership; Renting or Rental; Valuation

March 2006
Module Note

Exchange Rates and Global Markets

By: Mihir A. Desai and Kathleen Luchs

Describes the first module of the International Finance course at Harvard Business School. This introductory module focuses on the concepts and skills that students need throughout a course on international finance: a familiarity with exchange rates and associated... View Details

Keywords: Asset Pricing; Currency Exchange Rate; Globalized Markets and Industries; International Finance; Teaching; Innovation and Invention; Education Industry

June 2005
Article

Currency Returns, Intrinsic Value, and Institutional Investor Flows

By: K. A. Froot and T. Ramadorai

Keywords: Currencies; Exchange Rates; Purchasing Power Parity; Real Exchange Rate; Forecasting and Prediction; Behavioral Finance; Investment Return; Market Transactions; Performance Expectations; Personal Characteristics; Asset Pricing; Financial Services Industry

2005
Working Paper

Aggregate Corporate Liquidity and Stock Returns

By: Robin Greenwood

Aggregate investment in cash and liquid assets as a share of total corporate investment is negatively related to subsequent U.S. stock market returns between 1947 and 2003. The share of cash in total investment is a more stable predictor of returns than scaled price... View Details

Keywords: Stocks; Financial Liquidity; Cash; Investment Return; Corporate Finance

March 2005
Article

Short- and Long-term Demand Curves for Stocks: Theory and Evidence on the Dynamics of Arbitrage

By: Robin Greenwood

I develop a framework to analyze demand curves for multiple risky securities at extended horizons in a setting with limits-to-arbitrage. Following an unexpected change in uninformed investor demand for several assets, I predict returns of each security to be... View Details

Keywords: Limits To Arbitrage; Event Studies; Demand Curves; Portfolio Choice; Framework; Demand and Consumers; Change; Risk and Uncertainty; Debt Securities; Forecasting and Prediction; Stocks; Assets; Investment Portfolio; System Shocks; Price; Japan

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September 2004
Article

Decomposing the Persistence of International Equity Flows

By: Kenneth A. Froot and J. Tjornhom Donohue

Keywords: Asset Pricing; Equity Investment; Forecasting and Prediction; Behavioral Finance; Stocks; Investment Return; Market Transactions; Performance Expectations; Personal Characteristics; Financial Services Industry

Article

The Capital Asset Pricing Model

By: André Perold

Keywords: Capital; Assets; Price

January 2004 (Revised May 2004)
Case

Montagu Private Equity (A)

By: G. Felda Hardymon, Josh Lerner and Ann Leamon

Describes the dilemma facing Chris Masterson, the head of HSBC's private equity division, in negotiating this team's buyout of its organization from HSBC, its corporate parent since 1992. Discusses the pros and cons of being a captive fund and the delicate balance... View Details

Keywords: Private Equity; Balance and Stability; Asset Pricing

March 2003
Case

Compaq's Struggle

By: Carliss Y. Baldwin and David Lane

In 1997, Compaq Computer was locked in price competition with industry leader Dell. Although Compaq sought to escape difficulty by acquiring Digital Equipment Corp. ,a maker of more lucrative servers and minicomputers, in 1998 the simultaneous effort to remain a... View Details

Keywords: Mergers and Acquisitions; Business Exit or Shutdown; Asset Pricing; Alliances; Competitive Strategy; Computer Industry

2003
Working Paper

The Risk Tolerance of International Investors

By: Kenneth A. Froot and Paul G. J. O'Connell

Keywords: Risk Aversion; Risk; International Investing; Risk and Uncertainty; International Finance; Asset Pricing; Investment

December 2002
Article

The Persistence of Emerging Market Equity Flows

By: K. A. Froot and J. Donohue

Keywords: Asset Pricing; Equity Investment; Forecasting and Prediction; Behavioral Finance; Stocks; Investment Return; Market Transactions; Performance Expectations; Financial Services Industry

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

April 2002 (Revised November 2003)
Case

World Oil Markets

By: Richard H.K. Vietor and Rebecca Evans

Summarizes world markets for oil and natural gas from 1980-2001. Examines the rise of OPEC, two oil shocks, Gulf War efforts, and recent pricing issues facing Saudi Arabia. View Details

Keywords: Energy Sources; Asset Pricing; Markets; Organizations; Saudi Arabia

March 2002 (Revised June 2003)
Case

MAC Development Corporation

By: Richard G. Hamermesh and Colleen McCaffrey

Deals with MAC Development's efforts to develop a 41-acre site near Chicago. Reviews two years of efforts and highlights the remaining issues of: 1) gaining town approval for development and tax reductions, 2) meeting the bank's debt covenants, including finding a... View Details

Keywords: Risk Management; Taxation; Financial Instruments; Borrowing and Debt; Asset Pricing; Construction Industry; Chicago

January 2002 (Revised October 2007)
Case

Grantham, Mayo, Van Otterloo & Co., 2001

By: Joshua Musher and Andre F. Perold

Asset manager GMO underperforms the market during the 1996-2000 stock market bubble because of the focus on absolute risk. After suffering significant client withdrawals, performance again shines when the bubble collapses. Did they win the battle only to lose the war?... View Details

Keywords: Customers; Asset Management; Stocks; Investment; Price Bubble; Mathematical Methods; Risk and Uncertainty

December 2001
Case

Qwest Communications International Inc.

By: Thomas R. Eisenmann and Christopher Hackett

Describes the evolution of Qwest from a small fiber-optic construction firm in 1996 to a global telecommunications giant in 2001. Focuses on Qwest's pivotal acquisition of "Baby Bell" US West, a regional Bell operating company many times Qwest's size. Discusses the... View Details

Keywords: Mergers and Acquisitions; Asset Pricing; Business History; Knowledge Use and Leverage; Organizational Culture; Partners and Partnerships; Vertical Integration; Telecommunications Industry

August 2001 (Revised April 2002)
Case

Strategic Capital Management, LLC (A)

By: Mark L. Mitchell, Erik Stafford and Todd Pulvino

Strategic Capital Management, LLC, is a hedge fund that is planning to make financial investments in Creative Computers and Ubid. Creative Computers recently sold approximately 20% of its Internet auction subsidiary, Ubid, to the public at $15 per share. Ubid's stock... View Details

Keywords: Risk and Uncertainty; Business Subsidiaries; Internet and the Web; Investment Funds; Price; Performance Efficiency; Capital Markets; Auctions; Investment Return; Equity; Planning; Financial Services Industry

August 2001
Article

The Geography of Investment: Informed Trading and Asset Prices

By: Joshua D. Coval and Tobias J. Moskowitz

Keywords: Investment; Trade; Asset Pricing