Publications

SSRN

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

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May 2010
Article

Price Pressure in the Government Bond Market

By: Robin Greenwood and Dimitri Vayanos

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2020
Working Paper

Internal Models, Make Believe Prices, and Bond Market Cornering

By: Ishita Sen and Varun Sharma

Exploiting position-level heterogeneity in regulatory incentives to misreport and novel data on regulators, we document that U.S. life insurers inflate the values of corporate bonds using internal models. We estimate an additional $9-$18 billion decline in regulatory... View Details

Keywords: Life Insurers; Capital Regulation; Internal Models; Corporate Bonds; Regulatory Supervision; Concentrated Ownership; Bonds; Capital; Governing Rules, Regulations, and Reforms; Insurance; Investment Portfolio

SSRN

03 Jan 2019
Working Paper Summaries

Financing the Response to Climate Change: The Pricing and Ownership of US Green Bonds

Keywords: by Malcolm Baker, Daniel Bergstresser, George Serafeim, and Jeffrey Wurgler

Research Summary

Corporate Bond Pricing and Different Sources of Asset Return Volatility (with George Chacko and Jens Hilscher)

This paper presents a pricing model for defaultable bonds. Default is defined by a cash flow, not value, covenant. The cash flow (total distributions) yield is stochastic. We find that different sources of volatility, cash flow versus discount rate news, affect... View Details

March 2009 (Revised November 2016)
Case

Washington Mutual's Covered Bonds

By: Daniel Baird Bergstresser, Robin Greenwood and James Quinn

Washington Mutual issued 6 billion euro of covered bonds in 2006. The objective of the case is to ask whether these bonds are mispriced in late 2008. The case is set in September 2008, and Washington Mutual is facing considerable distress due to mounting losses in its... View Details

Keywords: Capital Markets; Financial Liquidity; Bonds; Mortgages; Price; Banking Industry; United States

January 1993 (Revised June 1995)
Case

Arbitrage in the Government Bond Market?

Documents a pricing anomaly in the large and liquid treasury bond market. The prices of callable treasury bonds seem to be inconsistent with the prices of noncallable treasuries and an arbitrage opportunity appears to exist. Permits instructors to introduce the... View Details

Keywords: Bonds; Price; Valuation; Capital Markets

13 Jul 2007
Working Paper Summaries

Economic Catastrophe Bonds

Keywords: by Joshua D. Coval, Jakub W. Jurek & Erik Stafford; Financial Services

March 2009 (Revised November 2009)
Supplement

Washington Mutual's Covered Bonds Courseware

By: Daniel Baird Bergstresser, Robin Greenwood and James Quinn

Washington Mutual issues 6 billion Euro of covered bonds in 2006. The objective of the case is to ask whether these bonds are mispriced in late 2008. The case is set in September 20008, and Washington Mutual is facing considerable distress due to mounting losses on its... View Details

Keywords: Banks and Banking; Bonds; Education; Information; Banking Industry

Research Summary

What Makes the Bonding Stick? A Natural Experiment Involving the U.S. Supreme Court and Cross-Listed Firms

On March 29, 2010, the U.S. Supreme Court signaled its intention to geographically limit the reach of the U.S.securities antifraud regime and thus differentially exclude U.S.-listed foreign firms from the ambit of formal U.S.antifraud enforcement. We exploit this... View Details

Keywords: Cross-listing; Corporate Governance; Civil Liability; Bonding

June 2013
Article

Issuer Quality and Corporate Bond Returns

By: Robin Greenwood and Samuel G. Hanson

We show that the credit quality of corporate debt issuers deteriorates during credit booms, and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changes in the pricing of credit risk disproportionately affect the... View Details

Keywords: Quality; Bonds; Forecasting and Prediction; Credit

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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... View Details

2012
Working Paper

Issuer Quality and Corporate Bond Returns

By: Robin Greenwood and Samuel G. Hanson

We show that the credit quality of corporate debt issuers deteriorates during credit booms, and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changes in the pricing of credit risk disproportionately affect the... View Details

Keywords: Price; Credit; Risk and Uncertainty; Investment Return; Forecasting and Prediction; Bonds; Market Design; Cost of Capital; Mathematical Methods; System Shocks

18 Oct 2013
Working Paper Summaries

Monetary Policy Drivers of Bond and Equity Risks

Keywords: by John Y. Campbell, Carolin E. Pflueger & Luis M. Viceira

When Do Stocks and Bonds Move Together, and Why Does it Matter?

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... View Details

July 1993 (Revised November 1993)
Case

European Bank for Reconstruction and Development: Marketing Strategy for the Debut Bond Offering

By: Jeffrey F. Rayport

The European Bank for Reconstruction and Development, the first supranational financial institution of the post-Cold War era, is planning its debut in the international capital markets through a bond issuance of $500 million. The bank must determine its marketing... View Details

Keywords: Bonds; Marketing Strategy; Capital Markets; Banks and Banking; Banking Industry; Europe

12 Mar 2009
Working Paper Summaries

Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

Keywords: by John Y. Campbell, Adi Sunderam & Luis M. Viceira

August 2014 (Revised March 2015)
Case

Molycorp: Morgan Brothers' Reverse Convertible Notes (C)

By: Benjamin C. Esty and E. Scott Mayfield

In August 2011, Morgan Brothers Bank was issuing a $2.5 million reverse convertible note with payoffs linked to the price of Molycorp's common stock. These financially engineered securities were just one of many kinds of structured notes available in the retail market.... View Details

Keywords: Structured Products; Reverse Convertible Notes; Replication; Option Pricing; Bond Pricing; Financial Engineering; Valuation; Metals and Minerals; Debt Securities; Finance; Investment; Mining Industry; Financial Services Industry; Canada; California