The co-movement of Treasury bonds and stocks is an important indicator for both policy makers and for long-term investors. A positive co-movement between nominal Treasury bonds and stocks, as in the 1980s, means that nominal bonds amplify the volatility of stock investors’ portfolios. This pattern tends to arise when investors anticipate inflation that is accompanied by a recession, which often results from an adverse supply shock – driving up prices – and a quick and energetic interest rate hike – tipping the economy into a recession. The importance of Treasury bond-stock co-movement has been increasingly recognized in policy circles as an important policy indicator of supply-driven inflationary pressures and the risk of a monetary policy-induced stagflation (see for example the Economic Report of the President, March 2023, pp.61-62). Policy makers also recognize the importance of bond-stock co-movement for the appeal of Treasury bonds to investors and the term premia they demand to hold these bonds — the government would find it more expensive to borrow if long-duration Treasury bonds are no longer seen as useful hedges against equity risk. So far, the post-pandemic risks of Treasury bonds look markedly different from the 1980s despite disruptions to energy supply, suggesting that investors are pricing in a less aggressive Fed response and a softer landing. Going forward, the risks of nominal Treasury bonds will provide a useful tool to track market expectations of stagflation risk and its sources.
Finance
Diverse hiring, deep research, and a collaborative culture have defined Brown Capital's successful investment approach. But would those qualities endure after its founder retires? A case study by Luis Viceira and Emily McComb explores how the second-largest Black-founded investment firm is preparing for its next phase.
Abstract
Using a large panel of U.S. brokerage accounts trades and positions, we show that a large fraction of retail investors trade as contrarians after large earnings surprises, especially for loser stocks, and that such contrarian trading contributes to post earnings announcement drift (PEAD) and price momentum. Indeed, when we double-sort by momentum portfolios and retail trading flows, PEAD and momentum are only present in the top two quintiles of retail trading intensity. Finer sorts confirm the results, as do sorts by firm size and institutional ownership level. We show that the investors in our sample are representative of the universe of U.S. retail traders, and that the magnitude of the phenomena we describe indicate a quantitively substantial role of retail investors in generating momentum. Alternative hypotheses, such as the disposition effect and stale limit orders, do not explain retail contrarian trading. Younger traders are more likely to be contrarian, and a firm’s dividend yield, leverage, size, book to market, and analyst coverage are associated with the fraction of contrarian trades they face around earnings announcements. Attentive investors are more likely to be contrarians.
Using a large panel of U.S. brokerage accounts trades and positions, we show that a large fraction of retail investors trade as contrarians after large earnings surprises, especially for loser stocks, and that such contrarian trading contributes to post earnings announcement drift (PEAD) and price momentum. Indeed, when we double-sort by momentum portfolios and retail trading flows, PEAD and momentum are only present in the top two quintiles of retail trading intensity. Finer sorts confirm the results, as do sorts by firm size and institutional ownership level. We show that the investors in our sample are representative of the universe of U.S. retail traders, and that the magnitude of the phenomena we describe indicate a quantitively substantial role of retail investors in generating momentum. Alternative hypotheses, such as the disposition effect and stale limit orders, do not explain retail contrarian trading. Younger traders are more likely to be contrarian, and a firm’s dividend yield, leverage, size, book to market, and analyst coverage are associated with the fraction of contrarian trades they face around earnings announcements. Attentive investors are more likely to be contrarians.
What is the value of diversification in long-term asset management? Luis M. Viceira, Professor at the Harvard Business School. Paolo Sodini, Professor of Finance at Stockholm School of Economics.
We show that the secular upward shift in short-run cross-country correlations of stock and bond returns does not necessarily imply a decline in the benefits of global portfolio diversification for long-horizon investors. We show that this increase in correlations has been driven primarily by an increase in the cross-country correlation of discount rates (investor sentiment or risk aversion) resulting from global capital markets integration. By contrast, the cross-country correlations of equity cash flows (or fundamentals) has remained stable. Because variation in discount rates tend to be transitory, it is the variation in fundamentals that determine the long-run return volatility and correlations of returns. The stability of the latter implies that long-run return volatilty and cross-country correlations have remained stable despite the increase in their short-run counterparts, implying that long-horizon investors can still benefit from global portfolio diversification.
How do monetary policy rules, monetary policy uncertainty, and macroeconomic shocks affect the risk properties of US Treasury bonds? The exposure of US Treasury bonds to the stock market has moved considerably over time. While it was slightly positive on average over the period 1960-2011, it was unusually high in the 1980s, and negative in the 2000s, a period during which Treasury bonds enabled investors to hedge macroeconomic risks. This paper develops a New Keynesian macroeconomic model with habit formation preferences that prices both bonds and stocks. The model attributes the increase in bond risks in the 1980s to a shift towards strongly anti-inflationary monetary policy, while the decrease in bond risks after 2000 is attributed to a renewed focus on output fluctuations, and a shift from transitory to persistent monetary policy shocks. Endogenous responses of bond risk premia amplify these effects of monetary policy on bond risks.
NBER Reporter 2013 Number 3: Research Summary
A summary of my research on inflation-indexed bonds that I have written for the NBER Reporter.
Fintech solutions for the Millennial Generation
The growth in index investing and what it means for markets, corporations, and managing
and growing a highly successful asset manager
Activists, engaged shareholders, and private equity investing in the public markets
The evolving power relationship between index fund managers and investors focused on management change. Index funds are the major shareholders in many large- and medium-sized public companies, but their passive investment nature offers few checks on those companies’ executives. This is changing and re-shaping the relation between managment and ownership in the 21st century.
Luis M. Viceira is the George E. Bates Professor in the Finance Unit and a Research Associate at the National Bureau of Economic Research. His research, course development, and teaching focus on the areas of investment management and capital markets. A member of the faculty of the Harvard Business School since 1998, Professor Viceira has taught an array of Finance courses in the MBA program, Executive Education programs, and the Business Economics Ph.D. program, and has served in several leadership positions. He is currently the instructor for the Investment Management for Professional and Personal Investors course in the Elective Curriculum of the MBA Program, co-chair of the HBS-CFA Institute Investment Management Program for leaders of asset management firms, and co-chair of the Asset Management Conference for HBS Alums. He also serves as co-chair of the NBER-NBIM Conference on New Developments in Long-Term Asset Management.
Prof. Viceira has developed extensive research and case writing in long-term asset allocation, asset pricing, fixed income markets, household finance, international finance, the management and organization of large institutional investors, and innovation and disruption in the money management industry. He is currently studying the implications of financial globalization for long-term asset management; the impact of monetary policy on bond and equity market risks; the disruptive power of fintech in the asset management industry; the growth in index investing and in activist investing, and the impact of such growth and the interaction between the two on capital markets and corporations.
Professor Viceira is the author of multiple journal articles published in leading academic and practitioner-oriented finance journals, book chapters, Harvard Business School case studies, and the book Strategic Asset Allocation (with John Y. Campbell). His research has received several awards recognizing its contributions to the theory and practice of asset management, including the 2002 TIAA-CREF Paul Samuelson Award, the 2005 Graham and Dodd Award by the CFA Institute, the 2004 Prize for Financial Innovation of the Q-Group, Inquire Europe, and Inquire U.K., and more recently the 2014 Arthur Warga Award by the The Society for Financial Studies.
Professor Viceira holds a bachelor degree from the Universidad Autonoma in Madrid, and a M.A. degree and a Ph.D. degree in Economics from Harvard University. He is also a Research Associate at the National Bureau of Economic Research in Cambridge, Massachusetts and a fellow of the TIAA-CREF Institute in New York.
Professor Viceira is currently a member of the Asset Allocation Advisory Board at NBIM, the manager of the Sovereign Wealth Fund of Norway, a Governor (Public) of the Financial Industry Regulatory Authority (FINRA), the Harvard University Trustee of the Charles E. Cotting Trust, a Trustee at Milton Academy. He is also a past trustee of the Financial Accounting Foundation and Belmont Day School, among others. He also serves as director, external consultant, and advisor to asset management firms, pension funds, sovereign wealth funds, central banks, international organizations, insurance companies, and not-for-profit organizations.
- Featured Work
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The co-movement of Treasury bonds and stocks is an important indicator for both policy makers and for long-term investors. A positive co-movement between nominal Treasury bonds and stocks, as in the 1980s, means that nominal bonds amplify the volatility of stock investors’ portfolios. This pattern tends to arise when investors anticipate inflation that is accompanied by a recession, which often results from an adverse supply shock – driving up prices – and a quick and energetic interest rate hike – tipping the economy into a recession. The importance of Treasury bond-stock co-movement has been increasingly recognized in policy circles as an important policy indicator of supply-driven inflationary pressures and the risk of a monetary policy-induced stagflation (see for example the Economic Report of the President, March 2023, pp.61-62). Policy makers also recognize the importance of bond-stock co-movement for the appeal of Treasury bonds to investors and the term premia they demand to hold these bonds — the government would find it more expensive to borrow if long-duration Treasury bonds are no longer seen as useful hedges against equity risk. So far, the post-pandemic risks of Treasury bonds look markedly different from the 1980s despite disruptions to energy supply, suggesting that investors are pricing in a less aggressive Fed response and a softer landing. Going forward, the risks of nominal Treasury bonds will provide a useful tool to track market expectations of stagflation risk and its sources.
Diverse hiring, deep research, and a collaborative culture have defined Brown Capital's successful investment approach. But would those qualities endure after its founder retires? A case study by Luis Viceira and Emily McComb explores how the second-largest Black-founded investment firm is preparing for its next phase.Abstract
Using a large panel of U.S. brokerage accounts trades and positions, we show that a large fraction of retail investors trade as contrarians after large earnings surprises, especially for loser stocks, and that such contrarian trading contributes to post earnings announcement drift (PEAD) and price momentum. Indeed, when we double-sort by momentum portfolios and retail trading flows, PEAD and momentum are only present in the top two quintiles of retail trading intensity. Finer sorts confirm the results, as do sorts by firm size and institutional ownership level. We show that the investors in our sample are representative of the universe of U.S. retail traders, and that the magnitude of the phenomena we describe indicate a quantitively substantial role of retail investors in generating momentum. Alternative hypotheses, such as the disposition effect and stale limit orders, do not explain retail contrarian trading. Younger traders are more likely to be contrarian, and a firm’s dividend yield, leverage, size, book to market, and analyst coverage are associated with the fraction of contrarian trades they face around earnings announcements. Attentive investors are more likely to be contrarians.What is the value of diversification in long-term asset management? Luis M. Viceira, Professor at the Harvard Business School. Paolo Sodini, Professor of Finance at Stockholm School of Economics.We show that the secular upward shift in short-run cross-country correlations of stock and bond returns does not necessarily imply a decline in the benefits of global portfolio diversification for long-horizon investors. We show that this increase in correlations has been driven primarily by an increase in the cross-country correlation of discount rates (investor sentiment or risk aversion) resulting from global capital markets integration. By contrast, the cross-country correlations of equity cash flows (or fundamentals) has remained stable. Because variation in discount rates tend to be transitory, it is the variation in fundamentals that determine the long-run return volatility and correlations of returns. The stability of the latter implies that long-run return volatilty and cross-country correlations have remained stable despite the increase in their short-run counterparts, implying that long-horizon investors can still benefit from global portfolio diversification.How do monetary policy rules, monetary policy uncertainty, and macroeconomic shocks affect the risk properties of US Treasury bonds? The exposure of US Treasury bonds to the stock market has moved considerably over time. While it was slightly positive on average over the period 1960-2011, it was unusually high in the 1980s, and negative in the 2000s, a period during which Treasury bonds enabled investors to hedge macroeconomic risks. This paper develops a New Keynesian macroeconomic model with habit formation preferences that prices both bonds and stocks. The model attributes the increase in bond risks in the 1980s to a shift towards strongly anti-inflationary monetary policy, while the decrease in bond risks after 2000 is attributed to a renewed focus on output fluctuations, and a shift from transitory to persistent monetary policy shocks. Endogenous responses of bond risk premia amplify these effects of monetary policy on bond risks.
NBER Reporter 2013 Number 3: Research SummaryA summary of my research on inflation-indexed bonds that I have written for the NBER Reporter.Fintech solutions for the Millennial GenerationThe growth in index investing and what it means for markets, corporations, and managing and growing a highly successful asset managerActivists, engaged shareholders, and private equity investing in the public marketsThe evolving power relationship between index fund managers and investors focused on management change. Index funds are the major shareholders in many large- and medium-sized public companies, but their passive investment nature offers few checks on those companies’ executives. This is changing and re-shaping the relation between managment and ownership in the 21st century. - Working Papers
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- Luo, Cheng (Patrick), Enrichetta Ravina, Marco Sammon, and Luis M. Viceira. "Retail Investors’ Contrarian Behavior Around News, Attention, and the Momentum Effect." Working Paper, June 2022. View Details
- Viceira, Luis M., and Zixuan (Kevin) Wang. "Global Portfolio Diversification for Long-Horizon Investors." Harvard Business School Working Paper, No. 17-085, March 2017. (Revised July 2018.) View Details
- Viceira, Luis M., and John Y. Campbell. "Long-Horizon Mean-Variance Analysis: A User Guide." September 2004. View Details
- Viceira, Luis M., and Yeung Lewis Chan. "Asset Allocation with Endogenous Labor Income: The Case of Incomplete Markets." December 2000. View Details
- Cohen, Randolph B., Brian J. Hall, and Luis M. Viceira. "Do Executive Stock Options Encourage Risk-Taking?" 2000. View Details
- Viceira, Luis M. "Testing for Structural Change in the Predictability of Asset Returns." 1996. View Details
- Journal Articles
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- Campbell, John Y., Carolin E. Pflueger, and Luis M. Viceira. "Macroeconomic Drivers of Bond and Equity Risks." Journal of Political Economy 128, no. 8 (August 2020): 3148–3185. View Details
- Campbell, John Y., Adi Sunderam, and Luis M. Viceira. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds." Critical Finance Review 6, no. 2 (2017): 263–301. View Details
- Gomes, Francisco J., Laurence J. Kotlikoff, and Luis M. Viceira. "The Excess Burden of Government Indecision." Tax Policy and the Economy 26 (2012): 125–163. View Details
- Viceira, Luis M. "Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates." International Journal of Forecasting 28, no. 1 (January–March 2012): 97–117. View Details
- Pflueger, Carolin E., and Luis M. Viceira. "Inflation-Indexed Bonds and the Expectations Hypothesis." Annual Review of Financial Economics 3 (2011): 139–158. View Details
- Jurek, Jakub W., and Luis M. Viceira. "Optimal Value and Growth Tilts in Long-Horizon Portfolios." Review of Finance 15, no. 1 (January 2011): 29–74. View Details
- Campbell, John Y., Karine Serfaty-de Medeiros, and Luis M. Viceira. "Global Currency Hedging." Journal of Finance 65, no. 1 (February 2010): 87–121. View Details
- Campbell, John Y., Robert J. Shiller, and Luis M. Viceira. "Understanding Inflation-Indexed Bond Markets." Brookings Papers on Economic Activity (Spring 2009): 79–120. View Details
- Gomes, Francisco J., Laurence J. Kotlikoff, and Luis M. Viceira. "Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds." American Economic Review: Papers and Proceedings 98, no. 2 (May 2008): 297–303. View Details
- Campbell, John Y., and Luis M. Viceira. "The Term Structure of the Risk-Return Tradeoff." Financial Analysts Journal 61, no. 1 (January–February 2005). (Awarded the the Graham and Dodd Award for Excellence in Financial Writing from the Financial Analysts Journal and the CFA Institute.) View Details
- Chacko, George, and Luis M. Viceira. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets." Review of Financial Studies 18, no. 4 (Winter 2005). View Details
- Campbell, John Y., George Chacko, Jorge Rodriguez, and Luis M. Viceira. "Strategic Asset Allocation in a Continuous-time VAR Model." Journal of Economic Dynamics & Control 28, no. 11 (October 2004): 2195–2214. View Details
- Viceira, Luis M., and George Chacko. "Spectral GMM Estimation of Continuous-Time Processes." Special Issue on Frontiers of Financial Econometrics and Financial Engineering. Journal of Econometrics 116, nos. 1-2 (September–October 2003): 259–292. View Details
- Viceira, Luis M., John Y. Campbell, and Joshua S. White. "Foreign Currency for Long-Term Investors." Economic Journal 113, no. 486 (March 2003). View Details
- Viceira, Luis M., John Y. Campbell, and Y. Lewis Chan. "A Multivariate Model of Strategic Asset Allocation." Journal of Financial Economics 67, no. 1 (January 2003): 41–80. (Click here for Appendix. Winner of the second 2003 Fama/DFA Prize for Capital Markets and Asset Pricing.) View Details
- Viceira, Luis M. "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income." Journal of Finance 56, no. 2 (April 2001): 433–470. View Details
- Campbell, John Y., and Luis M. Viceira. "Who Should Buy Long-Term Bonds?" American Economic Review 91, no. 1 (March 2001): 99–127. (Winner of FAME Research Prize. International Center for Financial Asset Management and Engineering presented by University of Lausanne. Click here for Appendix.) View Details
- Viceira, Luis M., John Y. Campbell, Francisco Gomes, and Pascal J. Maenhout. "Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor." European Finance Review 5, no. 3 (2001). View Details
- Viceira, Luis M., and John Y. Campbell. "Consumption and Portfolio Decisions When Expected Returns Are Time Varying." Quarterly Journal of Economics 114, no. 2 (May 1999): 433–495. (This note, "Consumption and Portfolio Decisions When Expected Returns Are Time Varying: Erratum," corrects an error in the May 1999 paper.) View Details
- Books
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- Campbell, John Y., and Luis M. Viceira. Strategic Asset Allocation: Portfolio Choice for Long-Term Investors. Oxford: Oxford University Press, 2002. (Winner of TIAA-CREF Paul A. Samuelson Award for Outstanding Scholarly Writing on Lifelong Financial Security presented by TIAA-CREF Institute.) View Details
- Viceira, Luis M., and John Y. Campbell. Appendix to 'Strategic Asset Allocation: Portfolio Choice for Long-Term Investors'. Oxford University Press, 2001. View Details
- Viceira, Luis M., Petr Adamek, John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay. A Solution Manual to 'The Econometrics of Financial Markets'. Princeton University Press, 1997. View Details
- Book Chapters
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- Pflueger, Carolin E., and Luis M. Viceira. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity." Chap. 10 in Handbook of Fixed-Income Securities, edited by Pietro Veronesi, 191–209. Wiley Handbooks in Financial Engineering and Econometrics. Hoboken, NJ: John Wiley & Sons, 2016. View Details
- Viceira, Luis M., and Ricardo Gimeno. "The Euro as a Reserve Currency for Global Investors." Chap. 4 in Spain and the Euro. The First Ten Years, 149–178. Madrid, Spain: Banco de España, 2010. View Details
- Viceira, Luis M. "Pension Fund Design in Developing Economies." In Evaluating the Financial Performance of Pension Funds, edited by Richard Hinz, Heinz P. Rudolph, Pablo Antolin, and Juan Yermo. World Bank, 2010. View Details
- Viceira, Luis M. "Life-Cycle Funds." Chap. 5 in Overcoming the Saving Slump: How to Increase the Effectiveness of Financial Education and Saving Programs, edited by Annamaria Lusardi. University of Chicago Press, 2008. View Details
- Viceira, Luis M. "Developments in Asset Allocation Modeling." In Global Perspectives on Investment Management: Learning from the Leaders, edited by Rodney N. Sullivan, 145–157. CFA Institute, 2006. View Details
- Campbell, John Y., and Luis M. Viceira. "Strategic Asset Allocation for Pension Plans." In The Oxford Handbook of Pensions and Retirement Income, edited by Gordon Clark, Alicia Munnell, and Michael Orszag. Oxford University Press, 2006. View Details
- Cases and Teaching Materials
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- Viceira, Luis M. "Partners Capital: Evaluating Fund Performance." Harvard Business School Spreadsheet Supplement 225-716, October 2024. View Details
- Viceira, Luis M. "PE Secondaries: Blackstone Strategic Partners." Harvard Business School Spreadsheet Supplement 225-715, October 2024. View Details
- Viceira, Luis M. "Viking Global Investors: Public Heritage, Private Opportunities." Harvard Business School Spreadsheet Supplement 225-714, October 2024. View Details
- Viceira, Luis M., and Sarah Mehta. "Brown Capital Management." Harvard Business School Teaching Note 225-003, September 2024. View Details
- Sen, Ishita, Emil Nuwan Siriwardane, David S. Scharfstein, and Luis M. Viceira. "The Silicon Valley Bank Crisis: MAPFRE USA's Investment in SVB Financial Group Bonds." Harvard Business School Case 224-056, May 2024. (Revised July 2024.) View Details
- Greenwood, Robin, Luis M. Viceira, and Robert Ialenti. "Tremblant Capital: Launching an Active ETF." Harvard Business School Case 224-112, June 2024. View Details
- Viceira, Luis M., and Brent Schwarz. "Discerene Group: Long-Term Public-Markets Investing." Harvard Business School Spreadsheet Supplement 225-704, August 2024. View Details
- Viceira, Luis M., and Brent Schwarz. "Discerene Group: Long-Term Public-Markets Investing." Harvard Business School Case 225-023, August 2024. (Revised October 2024.) View Details
- Green, Daniel, and Luis M. Viceira. "Divesting Harvard's Endowment." Harvard Business School Teaching Note 224-084, February 2024. View Details
- Viceira, Luis M., and Wenxin Du. "NBIM and the Norwegian Sovereign Wealth Fund." Harvard Business School Teaching Note 224-061, April 2024. View Details
- Du, Wenxin, and Luis M. Viceira. "NBIM and the Norwegian Sovereign Wealth Fund." Harvard Business School Case 224-038, January 2024. (Revised April 2024.) View Details
- Du, Wenxin, and Luis M. Viceira. "Hedging Currency Risk of Foreign Investments." Harvard Business School Technical Note 224-039, January 2024. View Details
- Viceira, Luis M., Ryan Gilland, Ashutosh Panchang, and Tanner Crouch. "Viking Global Investors: Public Heritage, Private Opportunities." Harvard Business School Case 224-019, August 2023. View Details
- Viceira, Luis M., and Ryan Gilland. "Partners Capital: Evaluating Fund Performance." Harvard Business School Case 224-017, August 2023. View Details
- Viceira, Luis M., and Emil N. Siriwardane. "Pershing Square's Pandemic Trade Teaching Note Courseware." Harvard Business School Spreadsheet Supplement 223-708, March 2023. View Details
- Siriwardane, Emil N., and Luis M. Viceira. "Pershing Square’s Pandemic Trade." Harvard Business School Teaching Note 223-023, August 2022. (Revised August 2022.) View Details
- Ivashina, Victoria, and Luis M. Viceira. "PE Secondaries: Blackstone Strategic Partners." Harvard Business School Teaching Note 223-022, August 2022. View Details
- Viceira, Luis M. "Modern Endowment Management: Paula Volent and the Bowdoin Endowment." Harvard Business School Teaching Note 222-089, June 2022. View Details
- Viceira, Luis M. "Valuing Yahoo! in 2013 (Abridged)." Harvard Business School Spreadsheet Supplement 222-717, May 2022. View Details
- Ivashina, Victoria, Luis M. Viceira, John D. Dionne, and Alys Ferragamo. "PE Secondaries: Blackstone Strategic Partners." Harvard Business School Case 222-027, November 2021. View Details
- Viceira, Luis M., Emily R. McComb, and Sarah Mehta. "Brown Capital Management." Harvard Business School Case 222-002, September 2021. View Details
- Viceira, Luis M. "Paradigm Capital Value Fund." Harvard Business School Teaching Note 222-021, September 2021. View Details
- Siriwardane, Emil N., Luis M. Viceira, and Dean Xu. "Pershing Square's Pandemic Trade (D)." Harvard Business School Supplement 222-010, July 2021. View Details
- Siriwardane, Emil N., Luis M. Viceira, and Dean Xu. "Pershing Square's Pandemic Trade (C)." Harvard Business School Supplement 222-009, July 2021. View Details
- Siriwardane, Emil N., Luis M. Viceira, and Dean Xu. "Pershing Square's Pandemic Trade (B)." Harvard Business School Supplement 222-008, July 2021. View Details
- Siriwardane, Emil N., Luis M. Viceira, Dean Xu, and Lucas Baker. "Pershing Square's Pandemic Trade (A)." Harvard Business School Case 222-007, July 2021. (Revised December 2021.) View Details
- Viceira, Luis M., Emily R. McComb, and Dean Xu. "Modern Endowment Management: Paula Volent and the Bowdoin Endowment." Harvard Business School Case 221-101, June 2021. View Details
- Di Maggio, Marco, Luis M. Viceira, and Julia Kelley. "Zillow Offers: Winning Online Real Estate 2.0." Harvard Business School Teaching Note 221-071, February 2021. (Revised March 2022.) View Details
- Green, Daniel, Luis M. Viceira, and Holly Fetter. "Divesting Harvard's Endowment." Harvard Business School Case 221-009, October 2020. (Revised February 2024.) View Details
- Viceira, Luis M., John D. Dionne, Soracha Prathanrasnikorn, and Ari Sunshine. "Francisco Partners Private Credit Opportunity Fund." Harvard Business School Case 221-002, October 2020. (Revised June 2021.) View Details
- Siriwardane, Emil N., Luis M. Viceira, and Dean Xu. "Mortgage Backed Securities and the Covid-19 Pandemic." Harvard Business School Case 221-010, July 2020. View Details
- Viceira, Luis M., and Victoria Sienczewski. "Sustainable Investing in Private Markets at TIFF." Harvard Business School Case 221-005, July 2020. View Details
- Fleiss, Sara, and Luis Viceira. "Sustainable Investing at J.P. Morgan Private Bank." Harvard Business School Case 220-016, August 2019. (Revised November 2019.) View Details
- Viceira, Luis M., and Elena Corsi. "Paradigm Capital Value Fund." Harvard Business School Case 220-014, August 2019. (Revised November 2022.) View Details
- Viceira, Luis, Marco Di Maggio, and Allison Ciechanover. "Zillow Offers: Winning Online Real Estate 2.0." Harvard Business School Case 220-021, August 2019. (Revised April 2021.) View Details
- Sunderam, Adi, Luis M. Viceira, and Aldo Sesia. "Puerto Rico's COFINA Bonds: Hold or Fold?" Harvard Business School Case 218-023, September 2017. (Revised January 2018.) View Details
- Siriwardane, Emil, and Luis M. Viceira. "Blackstone Alternative Asset Management in 2018." Harvard Business School Teaching Note 219-092, January 2019. (Revised March 2020.) View Details
- Siriwardane, Emil, Luis M. Viceira, and Shawn O'Brien. "Blackstone Alternative Asset Management in 2018." Harvard Business School Case 219-063, January 2019. (Revised March 2020.) View Details
- Viceira, Luis M., and Eren Kuzucu. "Ajeej Capital: Investing in Emerging Markets." Harvard Business School Case 219-029, January 2019. (Revised November 2019.) View Details
- Viceira, Luis M., and Shawn O'Brien. "Prudential Financial—General Motors Pension Risk Transfer: Back to the Future?" Harvard Business School Teaching Note 219-020, July 2018. View Details
- Sunderam, Adi, Luis M. Viceira, Shawn O'Brien, Sam Merkel, and Franklin Muanankese. "Baupost Group: Finding a Margin of Safety in London Real Estate." Harvard Business School Case 218-126, May 2018. (Revised December 2018.) View Details
- Fleiss, Sara, Adi Sunderam, Luis M. Viceira, and Caitlin Carmichael. "Quantopian: A New Model for Active Management." Harvard Business School Case 218-046, October 2017. View Details
- Sunderam, Adi, Luis Viceira, and Zhihan Ma. "Investing in Volatility at Evanston Capital Management." Harvard Business School Case 217-089, June 2017. (Revised February 2019.) View Details
- Viceira, Luis M., Cameron Parker, and William Simmons. "North Forty: Managing a Microsoft Family Office." Harvard Business School Case 218-036, September 2017. (Revised February 2019.) View Details
- Viceira, Luis M., and Elena Corsi. "APG Group: Managing Pensions for the Future (Abridged)." Harvard Business School Case 217-005, August 2016. View Details
- Viceira, Luis M., and Allison Ciechanover. "The Wealthfront Generation." Harvard Business School Case 216-085, June 2016. View Details
- Viceira, Luis M., Dhruva Kaul, and Peter Lee. "Trian Partners and DuPont (B)." Harvard Business School Case 216-078, May 2016. (Revised March 2017.) View Details
- Viceira, Luis M., Dhruva Kaul, and Peter Lee. "Trian Partners and DuPont (A)." Harvard Business School Case 216-077, May 2016. (Revised March 2017.) View Details
- Seasholes, Mark S., Adi Sunderam, Luis M. Viceira, and Emily A. Chien. "Prudential Financial and Asset-Liability Management." Harvard Business School Case 216-076, June 2016. (Revised March 2017.) View Details
- Viceira, Luis M., and Joel L. Heilprin. "Nextel Peru: Emerging Market Cost of Capital, Spreadsheet for Instructors (Brief Case)." Harvard Business School Spreadsheet Supplement 516-519, December 2015. View Details
- Viceira, Luis M., and Joel L. Heilprin. "Nextel Peru: Emerging Market Cost of Capital, Spreadsheet for Students (Brief Case)." Harvard Business School Spreadsheet Supplement 916-518, December 2015. View Details
- Viceira, Luis M., and Joel L. Heilprin. "Nextel Peru: Emerging Market Cost of Capital (Brief Case)." Harvard Business School Teaching Note 916-517, December 2015. View Details
- Viceira, Luis M., and Joel L. Heilprin. "Nextel Peru: Emerging Market Cost of Capital." Harvard Business School Brief Case 916-516, December 2015. View Details
- Chambers, David, Elroy Dimson, Luis M. Viceira, and Elena Corsi. "Models of Endowment Management: King's College, Cambridge." Harvard Business School Spreadsheet Supplement 216-704, February 2016. View Details
- Chambers, David, Elroy Dimson, Luis M. Viceira, and Elena Corsi. "Models of Endowment Management: King's College, Cambridge." Harvard Business School Case 216-023, January 2016. View Details
- Sunderam, Adi, Luis Viceira, and Allison Ciechanover. "The Vanguard Group, Inc. in 2015: Celebrating 40." Harvard Business School Case 216-026, October 2015. (Revised May 2017.) View Details
- Chambers, David, Elroy Dimson, and Luis M. Viceira. "Clare College: Seeking Investment Opportunity in a Financial Crisis." Harvard Business School Case 216-015, August 2015. (Revised February 2019.) View Details
- Viceira, Luis M., and Allison M. Ciechanover. "LOYAL3: Own What You Love™." Harvard Business School Case 215-075, June 2015. (Revised May 2017.) View Details
- Viceira, Luis M., and Allison Ciechanover. "LOYAL3: Own What You Love™." Harvard Business School Multimedia/Video Case 215-064, May 2015. View Details
- Viceira, Luis M., and David Biery. "Valuing Yahoo! in 2013." Harvard Business School Spreadsheet Supplement 215-709, March 2015. View Details
- Rhodes-Kropf, Matthew, Luis M. Viceira, John D. Dionne, and Nathaniel Burbank. "Texas Teachers and the New Texas Way." Harvard Business School Case 214-091, April 2014. (Revised October 2015.) View Details
- Viceira, Luis, and Emily A. Chien. "Focus Financial Partners and the U.S. RIA Industry in 2014." Harvard Business School Case 214-103, June 2014. (Revised January 2017.) View Details
- Viceira, Luis M., and Elena Corsi. "APG Group: Managing Pensions for the Future." Harvard Business School Case 214-087, February 2014. (Revised November 2015.) View Details
- Greenwood, Robin, Luis M. Viceira, and Jared Dourdeville. "Blackstone Alternative Asset Management." Harvard Business School Case 213-129, June 2013. (Revised July 2013.) View Details
- Ramanna, Karthik, and Luis M. Viceira. "The Private Company Council." Harvard Business School Case 113-045, January 2013. (Revised March 2016.) View Details
- Viceira, Luis M., and Atul Khosla. "Valuing Yahoo! in 2013." Harvard Business School Case 214-048, November 2013. (Revised May 2023.) View Details
- Viceira, Luis M., and Emily A. Chien. "Prudential Financial - General Motors Pension Risk Transfer: Back to the Future?" Harvard Business School Case 213-126, August 2013. (Revised November 2015.) View Details
- Viceira, Luis M., Jordan Chapman, and John Souther. "Harvard University Defined Contribution Pension Plan in 2013: Looking Ahead." Harvard Business School Case 213-108, June 2013. (Revised February 2019.) View Details
- Hanson, Samuel Gregory, Erik Stafford, and Luis M. Viceira. "Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium (CW)." Harvard Business School Spreadsheet Supplement 213-717, February 2013. (Revised January 2015.) View Details
- Viceira, Luis, and Alison Berkley Wagonfeld. "S&P Indices and the Indexing Business in 2012." Harvard Business School Case 213-049, June 2013. (Revised January 2014.) View Details
- Hanson, Samuel, Erik Stafford, and Luis Viceira. "Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium." Harvard Business School Case 213-051, October 2012. (Revised June 2015.) View Details
- Viceira, Luis M., Andrew S. Holmes, and Damian M. Zajac. "The Long and Short of Apollo Group and the University of Phoenix." Harvard Business School Spreadsheet Supplement 212-703, December 2011. View Details
- Viceira, Luis M., Joel Heilprin, Andrew S. Holmes, and Damian M. Zajac. "The Long and Short of Apollo Group and the University of Phoenix (B)." Harvard Business School Supplement 212-054, November 2011. (Revised December 2013.) View Details
- Sheen, Albert, Luis Viceira, and Joshua Coval. "High Noon at Vail Mountain." Harvard Business School Spreadsheet Supplement 212-702, November 2011. (Revised May 2022.) View Details
- Coval, Joshua, Albert Sheen, and Luis Viceira. "High Noon at Vail Mountain." Harvard Business School Case 212-035, November 2011. (Revised June 2022.) View Details
- Viceira, Luis M., Joel Heilprin, Andrew S. Holmes, and Damian M. Zajac. "The Long and Short of Apollo Group and the University of Phoenix (A)." Harvard Business School Case 212-045, November 2011. (Revised December 2013.) View Details
- Viceira, Luis, Elena Corsi, and Ruth Dittrich. "Shelley Capital and the Hedge Fund Secondary Market." Harvard Business School Case 211-112, June 2011. View Details
- Greenwood, Robin, and Luis M. Viceira. "MacroMarkets LLC." Harvard Business School Case 211-006, July 2010. (Revised March 2016.) View Details
- Greenwood, Robin, and Luis M. Viceira. "Martingale Asset Management LP in 2008, 130/30 Funds, and a Low-Volatility Strategy (TN)." Harvard Business School Teaching Note 211-079, January 2011. (Revised June 2012.) View Details
- Viceira, Luis M., and Ricardo Alberto De Armas. "Windward Investment Management." Harvard Business School Case 211-005, September 2010. (Revised May 2012.) View Details
- Viceira, Luis M., and Brendon Christopher Parry. "The Investment Fund for Foundations (TIFF) in 2009." Harvard Business School Case 210-008, December 2009. (Revised February 2010.) View Details
- Viceira, Luis M., and Helen Tung. "Martingale Asset Management LP in 2008, 130/30 Funds, and a Low-Volatility Strategy." Harvard Business School Case 209-047, August 2008. (Revised June 2012.) View Details
- Viceira, Luis M. "The Vanguard Group, Inc. in 2006 and Target Retirement Funds." Harvard Business School Case 207-129, June 2007. (Revised January 2008.) View Details
- Viceira, Luis M., and Helen Tung. "The U.S. Retirement Savings Market and the Pension Protection Act of 2006." Harvard Business School Background Note 207-130, June 2007. (Revised January 2008.) View Details
- Viceira, Luis M., and Alison Berkley Wagonfeld. "Barclays Global Investors and Exchange Traded Funds." Harvard Business School Case 208-033, October 2007. (Revised November 2007.) View Details
- Viceira, Luis M. "Harvard Management Company and Inflation-Protected Bonds, The." Harvard Business School Case 201-053, October 2000. (Revised February 2007.) View Details
- Viceira, Luis M. "Asset Allocation: A Half-Course Module Note." Harvard Business School Module Note 206-133, April 2006. View Details
- Viceira, Luis M. "General Motors U.S. Pension Funds (TN)." Harvard Business School Teaching Note 206-098, February 2006. (Revised April 2006.) View Details
- Viceira, Luis M. "Investment Policy at New England Healthcare (TN)." Harvard Business School Teaching Note 206-112, March 2006. View Details
- Viceira, Luis M. "Investment Policy at the Hewlett Foundation (2005) (TN)." Harvard Business School Teaching Note 206-114, March 2006. View Details
- Viceira, Luis M. "The Harmonized Savings Plan at BP Amoco (TN)." Harvard Business School Teaching Note 206-121, March 2006. View Details
- Viceira, Luis M. "Pension Policy at the Boots Company PLC (TN)." Harvard Business School Teaching Note 206-099, February 2006. View Details
- Viceira, Luis M. "Investment Policy at the Hewlett Foundation (2005)." Harvard Business School Case 205-126, June 2005. (Revised January 2006.) View Details
- Viceira, Luis M., and Helen Tung. "General Motors U.S. Pension Funds." Harvard Business School Case 206-001, July 2005. (Revised December 2005.) View Details
- Light, Jay O., Luis M. Viceira, and Akiko M. Mitsui. "Investment Policy at New England Healthcare." Harvard Business School Case 204-018, July 2003. (Revised December 2003.) View Details
- Viceira, Luis M., and Akiko M. Mitsui. "Pension Policy at The Boots Company PLC." Harvard Business School Case 203-105, June 2003. (Revised August 2003.) View Details
- Hecht, Peter A., and Luis M. Viceira. "Investing in Japan." Harvard Business School Case 203-036, March 2003. View Details
- Viceira, Luis M. "Harvard Management Company and Inflation-Protected Bonds,The (TN)." Harvard Business School Teaching Note 202-109, June 2002. View Details
- Viceira, Luis M. "Harvard Management Company & Inflation-Protected Bonds." Harvard Business School Spreadsheet Supplement 201-712, December 2000. View Details
- Viceira, Luis M. "Harmonized Savings Plan at BPAmoco." Harvard Business School Spreadsheet Supplement 201-713, December 2000. View Details
- Viceira, Luis M. "Harmonized Savings Plan at BP Amoco, The." Harvard Business School Case 201-052, October 2000. (Revised November 2000.) View Details
- Chacko, George C., and Luis M. Viceira. "Dell Computer Corporation: Share Repurchase Program." Harvard Business School Case 200-056, March 2000. View Details
- Other Publications and Materials
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- Cohen, Randolph B., Brian J. Hall, and Luis M. Viceira. "Do Executive Stock Options Encourage Risk-Taking?" 2000. View Details
- Teaching
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IMPPI is suitable for all students interested in gaining a broad perspective on investing and the asset management business, including those targeting careers in asset management and those interested in learning how to become sophisticated consumers of investment services and products to manage more effectively their personal current and future wealth.
This course makes special emphasis in understanding where markets, opportunities, firms, and products are today and likely to be in the future, through the analysis of markets and investing deals from an investment decision making perspective. The average age of each case in this course is short, sessions on capital markets and asset classes are updated every year, and there are always multiple brand new cases.Investing and Strategic Decision-Making for Principals, Portfolio Managers, and Executives of Asset Management Firms
For nearly 50 years, the Investment Management Workshop (IMW) has convened the world's top principals, portfolio managers, and executives to explore the latest strategies and best practices in asset management. Developed by Harvard Business School (HBS) Executive Education and CFA Institute, this renowned industry forum focuses on improving strategic decision making in three integrated areas—asset management, business strategy and development, and investment strategy and execution. You will explore real-world cases with a diverse group of industry peers and emerge with new insights on how to optimize your strategic edge. - Awards & Honors
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Winner of the 1999 FAME Research Prize from the International Center for Asset Management and Financial Engineering and University of Lausanne for "Who Should Buy Long-Term Bonds? (with John Y. Campbell, American Economic Review, March 2001).Winner of the 2002 TIAA-CREF Paul A. Samuelson Award for Outstanding Scholarly Writing on Lifelong Financial Security for Strategic Asset Allocation: Portfolio Choice for Long-Term Investors (with John Y. Campbell, Oxford University Press, 2002).Winner of the 2004 Investment Potential Prize from the Three-Way Symposium of Inquire Europe, Inquire UK, and the Q-Group for "The Term Structure of the Risk-Return Tradeoff" (with John Y. Campbell, Financial Analysts Journal, January/February 2005).Winner of the 2005 Graham and Dodd Award for Excellence in Financial Writing from the Financial Analysts Journal and the CFA Institute for "The Term Structure of the Risk-Return Tradeoff" (with John Y. Campbell, January/February 2005).First Arthur Warga Award for the Best Paper in Fixed Income from The Society for Financial Studies, 2014 Finance Cavalcade, for “Monetary Policy Drivers of Bond and Equity Risks” (with John Y. Campbell and Carolin E. Pflueger).Received the 2014–2015 Robert F. Greenhill Award.
- Additional Information
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- Curriculum Vitae
- Personal Website
- Finance Unit
- Business Economics Ph. D. Program at Harvard University
- Linked In Profile
- The Digital, Data, and Design (D^3) Institute at Harvard
Affiliations - Areas of Interest
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- capital markets
- investment management
- asset pricing
- behavioral finance
- corporate finance
- education
- financial engineering
- financial management
- financial strategy
- hedge funds
- institutional investing
- international finance
- investment banking
- investor behavior
- long-term investing
- mutual funds
- performance measurement
- philanthropy
- risk management
- valuation
- banking
- education industry
- financial services
- nonprofit industry
- retail financial services
- Europe
- Japan
- Spain
- United States
Additional TopicsIndustriesGeographies - In The News