Publications

2005
Working Paper

Aggregate Corporate Liquidity and Stock Returns

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

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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December 2004 (Revised March 2006)
Background Note

Decision Trees

By: Robin Greenwood and Lucy White

This case introduces decision analysis. Using a simple example, it illustrates the use of probability trees and decision trees as tools for solving business problems. View Details

Keywords: Decision Making

Educators

December 2004 (Revised October 2017)
Background Note

Subscriber Models

By: Mihir Desai, Robin Greenwood, Scott Mayfield and Lucy White

Introduces the subscriber model as an alternative valuation framework for firms whose revenues can be traced to repeated transactions with customers. View Details

Keywords: Valuation; Corporate Finance

Educators

February 2004
Teaching Note

Williams, 2002 (TN)

Teaching Note to (9-203-068). View Details

Keywords: Energy Industry; United States

November 2003
Article

The Maturity of Debt Issues and Predictable Variation in Bond Returns

By: Malcolm Baker, Robin Greenwood and Jeffrey Wurgler

The maturity of new debt issues predicts excess bond returns. When the share of long-term debt issues in total debt issues is high, future excess bond returns are low. This predictive power comes in two parts. First, inflation, the real short-term rate, and the term... View Details

Keywords: Borrowing and Debt; Bonds; Investment Return; Financial Markets; Forecasting and Prediction

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December 2002 (Revised October 2013)
Case

Williams, 2002

By: Joshua Coval, Robin Greenwood and Peter Tufano

Williams, a Tulsa, Oklahoma-based firm in various energy businesses, must decide whether to accept a financing package offered by Berkshire Hathaway and Lehman Brothers. The proposed one-year credit facility would provide the firm with financial resources in a... View Details

Keywords: Financial Management; Crisis Management; Credit; Capital Structure; Financial Strategy; Financing and Loans; Financial Instruments; Energy Industry; United States

Educators

2002
Other Unpublished Work

The Maturity of Debt Issues and Predictable Variation in Bond Returns

By: Malcolm Baker, Robin Greenwood and Jeffrey Wurgler

The maturity of new debt issues predicts excess bond returns. When the share of long term debt issues in total debt issues is high, future excess bond returns are low. This predictive power comes in two parts. First, inflation, the real short-term rate, and the term... View Details

Keywords: Borrowing and Debt; Bonds; Investment Return; Financial Markets; Forecasting and Prediction

Forthcoming
Article

Reflexivity in Credit Markets

By: Robin Greenwood, Samuel G. Hanson and Lawrence J. Jin

Reflexivity is the idea that investors' biased beliefs affect market outcomes and that market outcomes in turn affect investors’ future biases. We develop a dynamic behavioral model of the credit cycle featuring this two-way feedback loop. Investors form beliefs about... View Details

Keywords: Reflexivity; Attitudes; Financial Markets; Forecasting and Prediction; Investment; Credit

Forthcoming
Article

Supply and Demand and the Term Structure of Interest Rates

By: Robin Greenwood, Samuel G. Hanson and Dimitri Vayanos

We survey the growing literature emphasizing the role that supply-and-demand forces play in shaping the term structure of interest rates. Our starting point is the Vayanos and Vila (2009, 2021) model of the term structure of default-free bond yields, which we present... View Details

Keywords: Demand and Consumers; Interest Rates; Bonds; Financial Markets

Forthcoming
Article

The Disappearing Index Effect

By: Robin Greenwood and Marco Sammon

The abnormal return associated with a stock being added to the S&P 500 has fallen from an average of 7.4% in the 1990s to 0.3% over the past decade. This has occurred despite a significant increase in the share of stock market assets linked to the index. A similar... View Details

Keywords: Stocks; Investment Return; Value