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  • 2017
  • Article

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

By: John Y. Campbell, Adi Sunderam and Luis M. Viceira
The covariance between U.S. Treasury bond returns and stock returns has moved considerably over time. While it was slightly positive on average in the period 1953–2009, it was unusually high in the early 1980s and negative in the 2000s, particularly in the downturns of... View Details
Keywords: Inflation and Deflation; Bonds; Interest Rates; Investment Return; Risk Management
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  • 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
  • 2014
  • Working Paper

Private Equity's Diversification Illusion: Economic Comovement and Fair Value Reporting

By: Kyle Travis Welch
This study examines how accounting has informed private equity diversification claims and demand for private equity investments. Despite research showing private equity lacks portfolio diversification benefits, those marketing private equity assets continue to... View Details
Keywords: Fair Value; Access To Capital; IAS 39; FAS No. 157; FASB; IASB; ASC 820; Covariance Risk; Accounting Beta; Accounting; Private Sector; Valuation; Corporate Finance; Asset Management; Cost of Capital; Private Equity; Accounting Industry; Financial Services Industry; Europe; North and Central America
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  • 2023
  • Working Paper

Contagious Anomalies

By: Angela Ma and Miles Zheng
This paper shows that anomaly strategy contagion contributes a key component of risks induced by arbitrageur trading. We present three main findings: (1) Contagion deteriorates the market liquidity of the contaminated strategy. (2) Increased contagion risk predicts... View Details
Keywords: Contagion; Anomalies; Non-bank Intermediaries; Arbitrage; Intermediary Asset Pricing
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  • January – March 2012
  • Article

Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates

By: Luis M. Viceira
This paper explores time variation in bond risk, as measured by the covariation of bond returns with stock returns and with consumption growth, and in the volatility of bond returns. A robust stylized fact in empirical finance is that the spread between the yield on... View Details
Keywords: Bonds; Volatility; Forecasting and Prediction; Interest Rates; Inflation and Deflation; Investment Return; Risk and Uncertainty; Currency Exchange Rate; Cash Flow; Stocks
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  • November 2007
  • Background Note

Asset Allocation I

By: Joshua D. Coval, Erik Stafford, Rodrigo Osmo, John Jernigan, Zack Page and Paulo Passoni
The goal of these simulations is to understand the mathematics of mean-variance optimization and the equilibrium pricing of risk if all investors use this rule with common information sets. Simulation A focuses on five to 10 years of monthly sector returns that are... View Details
Keywords: Asset Pricing; Capital; Investment Return; Risk Management; Mathematical Methods
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  • 11 Sep 2007
  • Working Paper Summaries

Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates

Keywords: by Luis M. Viceira
  • 2023
  • Working Paper

PRIMO: Private Regression in Multiple Outcomes

By: Seth Neel
We introduce a new differentially private regression setting we call Private Regression in Multiple Outcomes (PRIMO), inspired the common situation where a data analyst wants to perform a set of l regressions while preserving privacy, where the covariates... View Details
Keywords: Analytics and Data Science; Mathematical Methods
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  • 10 Feb 2009
  • First Look

First Look: February 10, 2009

  Working PapersInflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds Authors:John Y. Campbell, Adi Sunderam, and Luis M. Viceira Abstract The covariance between U.S. Treasury bond returns... View Details
Keywords: Martha Lagace
  • 06 Nov 2018
  • First Look

New Research and Ideas, November 6, 2018

a useful input to assessing risks, allocating quality improvement resources, and making sourcing decisions. This paper examines how the scheduling of inspections risks introducing bias that erodes inspection quality by altering inspector... View Details
Keywords: Dina Gerdeman
  • 14 Jun 2016
  • First Look

June 14, 2016

and the risks associated with each. Accepting involves prioritizing the job above all else and remaining available 24/7. Because accepters fail to cultivate outside interests, they’re often slow to recover from professional setbacks. And... View Details
Keywords: Sean Silverthorne
  • 08 Jul 2008
  • First Look

First Look: July 8, 2008

http://www.hbsp.harvard.edu/b01/en/common/item_detail.jhtml?id=607014 Asset Allocation I Harvard Business School Note 208-086 The goal of these simulations is to understand the mathematics of mean-variance optimization and the equilibrium pricing of View Details
Keywords: Martha Lagace
  • 14 Mar 2017
  • First Look

First Look at New Research, March 14

https://www.hbs.edu/faculty/Pages/item.aspx?num=52405 forthcoming Critical Finance Review Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds By: Campbell, John Y., Adi Sunderam, and Luis M. Viceira Abstract—The View Details
Keywords: Sean Silverthorne
  • 29 Jan 2013
  • First Look

First Look: Jan. 29

intermediate-term bond yields, relative to the average of short- and long-term bond yields―is a good proxy for the level of term premia. The nominal-real covariance has declined since the early 1980s, driving down term premia. Download... View Details
Keywords: Sean Silverthorne
  • 02 Jan 2018
  • First Look

First Look at New Research and Ideas, January 3, 2018

opinion and policies? What are its risks and rewards? And what is the playbook for leaders considering speaking out? The authors of this article examine those questions and explain the takeaways of their own research. One finding:... View Details
Keywords: Sean Silverthorne
  • 13 Apr 2010
  • First Look

First Look: April 13

Interest Rates Author:Luis M. Viceira Publication:International Journal of Forecasting (forthcoming) Abstract This paper explores time variation in bond risk, as measured by the covariation of bond returns with stock returns and with... View Details
Keywords: Martha Lagace
  • 22 May 2007
  • First Look

First Look: May 22, 2007

  Working PapersGlobal Currency Hedging Authors:John Y. Campbell, Karine Serfaty-de Medeiros, and Luis M. Viceira Abstract This paper considers the risk management problem of an investor who holds a diversified portfolio of global... View Details
Keywords: Martha Lagace
  • 26 Jun 2007
  • First Look

First Look: June 26, 2007

the idea that trading patterns are associated with short-run excess comovement of stock returns. Our findings suggest that multi-factor risk models could be enhanced by adding factors capturing correlated demand. The Invariant Proportion... View Details
Keywords: Martha Lagace
  • 12 Jan 2016
  • First Look

January 12, 2016

and minimizes the expected time to detection under a pre-specified alternative hypothesis. We apply our method to a model in which the interdependency among the multiple adverse events is captured by a Cox proportional hazards model with time-dependent View Details
Keywords: Carmen Nobel

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